Portfolio insurance under a risk-measure constraint

DOI10.1016/j.insmatheco.2011.05.009zbMath1228.91061arXiv1102.4489OpenAlexW4298434486MaRDI QIDQ654812

Peter Tankov, Carmine De Franco

Publication date: 21 December 2011

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1102.4489

zbMATH Keywords

utility maximizationportfolio insuranceconvex risk measuresentropic risk measurespectral risk measure

Mathematics Subject Classification ID

Related Items (8)

PORTFOLIO OPTIMIZATION UNDER A QUANTILE HEDGING CONSTRAINT ⋮ Dynamic Mean-LPM and Mean-CVaR Portfolio Optimization in Continuous-Time ⋮ Non-concave portfolio optimization with average value-at-risk ⋮ Quantile portfolio optimization under risk measure constraints ⋮ Best portfolio insurance for long-term investment strategies in realistic conditions ⋮ On the interplay between distortion, mean value and Haezendonck-Goovaerts risk measures ⋮ Some new results on value ranges of risks for mean-variance portfolio models ⋮ Less is more: increasing retirement gains by using an upside terminal wealth constraint

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