Optimal asset allocation for participating contracts under the VaR and PI constraint

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

zbMATH Keywords

value-at-riskportfolio insuranceconcavificationparticipating contractLagrange dual method

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

Related Items (2)

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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