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Year of publication
Subject
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Constrained optimization 2 Indifference principle 2 Minimum constant portfolio 2 Optimal portfolios 2 Stress scenarios 2 Mathematical programming 1 Mathematische Optimierung 1 Portfolio selection 1 Portfolio-Management 1 Scenario analysis 1 Szenariotechnik 1 Theorie 1 Theory 1
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Online availability
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Free 2
Type of publication
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Article 2
Type of publication (narrower categories)
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Article 1 Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 2
Author
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Korn, Ralf 2 Müller, Lukas 2
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Mathematics and Financial Economics 1 Mathematics and financial economics 1
Source
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ECONIS (ZBW) 1 EconStor 1
Showing 1 - 2 of 2
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Optimal portfolios in the presence of stress scenarios : a worst-case approach
Korn, Ralf; Müller, Lukas - In: Mathematics and financial economics 16 (2022) 1, pp. 153-185
Persistent link: https://www.econbiz.de/10013167740
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Cover Image
Optimal portfolios in the presence of stress scenarios A worst-case approach
Korn, Ralf; Müller, Lukas - In: Mathematics and Financial Economics 16 (2021) 1, pp. 153-185
Insurance companies and banks regularly have to face stress tests performed by regulatory instances. To model their investment decision problems that includes stress scenarios, we propose the worst-case portfolio approach. Thus, the resulting optimal portfolios are already stress test prone by...
Persistent link: https://www.econbiz.de/10014501724
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