𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Portfolio insurance under a risk-measure constraint

✍ Scribed by Carmine De Franco; Peter Tankov

Book ID
108153202
Publisher
Elsevier Science
Year
2011
Tongue
English
Weight
327 KB
Volume
49
Category
Article
ISSN
0167-6687

No coin nor oath required. For personal study only.

πŸ“œ SIMILAR VOLUMES

Optimal portfolios under a value-at-risk
Optimal portfolios under a value-at-risk constraint
✍ K.F.C. Yiu πŸ“‚ Article πŸ“… 2004 πŸ› Elsevier Science 🌐 English βš– 568 KB

This paper looks at the optimal portfolio problem when a value-at-risk constraint is imposed. This provides a way to control risks in the optimal portfolio and to fulΓΏl the requirement of regulators on market risks. The value-at-risk constraint is derived for n risky assets plus a risk-free asset an

Stochastic differential portfolio games
Stochastic differential portfolio games for an insurer in a jump-diffusion risk process
✍ Xiang Lin; Chunhong Zhang; Tak Kuen Siu πŸ“‚ Article πŸ“… 2011 πŸ› Springer 🌐 English βš– 210 KB

We discuss an optimal portfolio selection problem of an insurer who faces model uncertainty in a jump-diffusion risk model using a game theoretic approach. In particular, the optimal portfolio selection problem is formulated as a two-person, zerosum, stochastic differential game between the insurer