Constant proportion portfolio insurance under a regime switching exponential Lévy process
Chengguo Weng
| Year of publication: |
2013
|
|---|---|
| Authors: | Weng, Chengguo |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 52.2013, 3, p. 508-521
|
| Subject: | Portfolio-Management | Portfolio selection | Stochastischer Prozess | Stochastic process | Versicherung | Insurance | Markov-Kette | Markov chain | Optionspreistheorie | Option pricing theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009763599