Portfolio insurance with liquidity risk

DOI10.1007/s10690-008-9067-zzbMath1170.91393OpenAlexW1978422631MaRDI QIDQ841847

Koichi Matsumoto

Publication date: 18 September 2009

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-008-9067-z

zbMATH Keywords

optimal strategyportfolio insuranceliquidity

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items

Time-varying minimum-cost portfolio insurance problem via an adaptive fuzzy-power LVI-PDNN

Cites Work

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