On the economic risk capital of portfolio insurance
type: Item
instance of: scholarly article
title: On the economic risk capital of portfolio insurance
zbMATH Open document ID: 1155.91385
DOI: 10.1155/S0161171204210146
author: Werner Hürlimann
published in: International Journal of Mathematics and Mathematical Sciences
publication date: 2005-05-25T00:00:00Z
full work available at URL: https://eudml.org/doc/55116
review text: Summary: A formula for the conditional value-at-risk of classical portfolio insurance is derived and shown to be constant for sufficiently small loss probabilities. As illustrations, we discuss portfolio insurance for an equity market index using empirical data, and analyze the more general multivariate situation of a portfolio of risky assets.
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 62E15
Mathematics Subject Classification ID: 62H20
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 2171585
MaRDI profile type: Publication
OpenAlex ID: W2074480911
description: scientific article; zbMATH DE number 2171585