Optimal asset allocation for participating contracts under the VaR and PI constraint
Yinghui Dong, Sang Wu, Wenxin Lv and Guojing Wang
| Year of publication: |
2020
|
|---|---|
| Authors: | Dong, Yinghui ; Wu, Sang ; Lv, Wenxin ; Wang, Guojing |
| Published in: |
Scandinavian actuarial journal. - Stockholm : Taylor & Francis, ISSN 1651-2030, ZDB-ID 2029609-5. - Vol. 2020.2020, 2, p. 84-109
|
| Subject: | concavification | Lagrange dual method | Participating contract | portfolio insurance | value-at-risk | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Vertragstheorie | Contract theory | Vertrag | Contract |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/03461238.2019.1636859 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012195023