Risk management of time varying floors for dynamic portfolio insurance
type: Item
instance of: scholarly article
title: Risk management of time varying floors for dynamic portfolio insurance
zbMATH Open document ID: 1431.91352
author: Xianqiang Yang
published in: European Journal of Operational Research
publication date: 2018-04-23T00:00:00Z
Mathematics Subject Classification ID: 91G10
zbMATH DE Number: 6863357
zbMATH Keywords: portfolio insurance
zbMATH Keywords: CPPI
zbMATH Keywords: time varying floor
zbMATH Keywords: ratchet
zbMATH Keywords: margin
describes a project that uses: CAViaR
MaRDI profile type: Publication
full work available at URL: j.ejor.2018.01.041
OpenAlex ID: W2791107832
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DOI: 10.1016/J.EJOR.2018.01.041
description: scientific article; zbMATH DE number 6863357