Portfolio insurance under a risk-measure constraint
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Publication:654812
DOI10.1016/j.insmatheco.2011.05.009zbMath1228.91061arXiv1102.4489OpenAlexW4298434486MaRDI QIDQ654812
Peter Tankov, Carmine De Franco
Publication date: 21 December 2011
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1102.4489
utility maximizationportfolio insuranceconvex risk measuresentropic risk measurespectral risk measure
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