Portfolio Insurance and model uncertainty
β Scribed by Bernhard Nietert
- Publisher
- Springer
- Year
- 2003
- Tongue
- German
- Weight
- 175 KB
- Volume
- 25
- Category
- Article
- ISSN
- 0171-6468
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
A discrete time probabilistic model, for optimal equity allocation and portfolio selection, is formulated so as to apply to (at least) reinsurance. In the context of a company with several portfolios (or subsidiaries), representing both liabilities and assets, it is proved that the model has solutio
We develop multi-period dynamic models for fixed-income portfolio management under uncertainty, using multi-stage stochastic programming with recourse. The models integrate the prescriptive stochastic programs with descriptive Monte Carlo simulation models of the term structure of interest rates. E