Optimal asset allocation for participating contracts under the VaR and PI constraint
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Publication:5217902
DOI10.1080/03461238.2019.1636859zbMath1433.91129OpenAlexW2965999348MaRDI QIDQ5217902
Yinghui Dong, Wenxin Lv, Sang Wu, Guo-jing Wang
Publication date: 26 February 2020
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461238.2019.1636859
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Portfolio optimization with wealth-dependent risk constraints ⋮ Portfolio performance under benchmarking relative loss and portfolio insurance: From omega ratio to loss aversion
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