Optimal investment of a time-dependent renewal risk model with stochastic return (Q264519): Difference between revisions
From MaRDI portal
Normalize DOI. |
Normalize DOI. |
||
| Property / DOI | |||
| Property / DOI: 10.1186/S13660-015-0707-3 / rank | |||
| Property / DOI | |||
| Property / DOI: 10.1186/S13660-015-0707-3 / rank | |||
Normal rank | |||
Latest revision as of 12:55, 9 December 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal investment of a time-dependent renewal risk model with stochastic return |
scientific article |
Statements
Optimal investment of a time-dependent renewal risk model with stochastic return (English)
0 references
31 March 2016
0 references
dependence
0 references
optimal portfolio
0 references
Lévy process
0 references
asymptotics
0 references
value-at-risk (VaR)
0 references
0 references
0 references
0 references
0 references
