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  • Search: subject:"VaR constraint"
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Year of publication
Subject
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VaR constraint 5 Portfolio selection 4 Portfolio-Management 4 Risikomaß 4 Risk measure 4 Delegated portfolio management 3 Theorie 3 Theory 3 Agency theory 2 Incentive contract 2 Prinzipal-Agent-Theorie 2 Private information 2 VAR model 2 VAR-Modell 2 Asset Liability Management 1 Asset VaR constraint 1 Asymmetric information 1 Asymmetrische Information 1 Contagion 1 Contract theory 1 Equilibrium investment-reinsurance strategy 1 Erwartungsnutzen 1 Expected utility 1 Extended HJB system of equations 1 Institutional investor 1 Institutioneller Investor 1 Leistungsanreiz 1 Mathematical programming 1 Mathematische Optimierung 1 Mean-variance criterion 1 Optimal Portfolio 1 Performance incentive 1 Portfolio optimization 1 Quantile formulation 1 Rank-dependent expected utility 1 Relaxation method 1 Risikoaversion 1 Risk aversion 1 Stochastic control 1 Stochastic process 1
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Online availability
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Undetermined 4 Free 1
Type of publication
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Article 5 Book / Working Paper 1
Type of publication (narrower categories)
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Article in journal 4 Aufsatz in Zeitschrift 4
Language
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English 5 Undetermined 1
Author
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Sheng, Jiliang 2 Yang, Jun 2 Bi, Junna 1 Cai, Jun 1 Guo, Rui 1 Jiang, Ying 1 Li, Ao 1 Mi, Hui 1 Monfort, A. 1 Qiu, Zhigang 1 Wang, Hefei 1 Wang, Xiaoting 1 Xiaoting Wang 1 Xu, Zuo Quan 1
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Institution
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Banque de France 1
Published in...
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Insurance / Mathematics & economics 2 Economic Modelling 1 Economic modelling 1 Finance research letters 1 Working papers / Banque de France 1
Source
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ECONIS (ZBW) 4 RePEc 2
Showing 1 - 6 of 6
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Optimal portfolio selection with VaR and portfolio insurance constraints under rank-dependent expected utility theory
Mi, Hui; Xu, Zuo Quan - In: Insurance / Mathematics & economics 110 (2023), pp. 82-105
Persistent link: https://www.econbiz.de/10014282477
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A model of delegation with a VaR constraint
Guo, Rui; Jiang, Ying; Li, Ao; Qiu, Zhigang; Wang, Hefei - In: Finance research letters 42 (2021), pp. 1-14
Persistent link: https://www.econbiz.de/10014580445
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Optimal Portfolio Allocation under Asset and Surplus VaR Constraints
Monfort, A. - Banque de France - 2009
companies, based on a dual VaR constraint for the asset and the surplus. A key ingredient of this approach is a flexible …
Persistent link: https://www.econbiz.de/10008531413
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Optimal investment-reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets
Bi, Junna; Cai, Jun - In: Insurance / Mathematics & economics 85 (2019), pp. 1-14
Persistent link: https://www.econbiz.de/10011990589
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Incentive contracts in delegated portfolio management under VaR constraint
Sheng, Jiliang; Wang, Xiaoting; Yang, Jun - In: Economic Modelling 29 (2012) 5, pp. 1679-1685
under a value-at-risk (VaR) constraint. It is shown that a linear performance-based contract can provide incentives for the … causes the portfolio manager to reduce effort in gathering private information, suggesting that the VaR constraint increases …
Persistent link: https://www.econbiz.de/10010597495
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Cover Image
Incentive contracts in delegated portfolio management under VaR constraint
Sheng, Jiliang; Xiaoting Wang; Yang, Jun - In: Economic modelling 29 (2012) 5, pp. 1679-1685
Persistent link: https://www.econbiz.de/10009667129
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