✦ LIBER ✦
094002 (M10) A characterisation of the generalised pareto-distribution with an application to reinsurance : Creamer E., Blätter, Band XXIII, Heft 1, 1997, 17–19
- Publisher
- Elsevier Science
- Year
- 1997
- Tongue
- English
- Weight
- 80 KB
- Volume
- 21
- Category
- Article
- ISSN
- 0167-6687
No coin nor oath required. For personal study only.
✦ Synopsis
An analysis is made of the effect on portfolio performance if assets are continually rebalanced to constant market value proportions, relative to the passive "buy and hold" strategy. The probability that one strategy outperforms the other is evaluated on the basis of a geometric diffusion model of market prices and by reference to historical data.