Portfolio insurance: A simulation under different market conditions

DOI10.1016/0167-6687(90)90011-2zbMath0693.62084OpenAlexW2041278614MaRDI QIDQ908642

David Dennis, Ross Cunningham, Mark Tippett, Ron Bird

Publication date: 1990

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

Full work available at URL: https://doi.org/10.1016/0167-6687(90)90011-2

zbMATH Keywords

optionportfolio insurancereturnspath dependency

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Monte Carlo methods (65C05)

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Cites Work

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• A Note on the Generation of Random Normal Deviates
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