Optimal investment for an insurer with cointegrated assets : CRRA utility
Mei Choi Chiu; Hoi Ying Wong
| Year of publication: |
2013
|
|---|---|
| Authors: | Chiu, Mei Choi ; Wong, Hoi Ying |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 52.2013, 1, p. 52-64
|
| Subject: | Theorie | Theory | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Risikoaversion | Risk aversion | Risikomodell | Risk model | Nutzen | Utility | Stochastischer Prozess | Stochastic process | Kointegration | Cointegration |
| 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/10009719005