Best portfolio insurance for long-term investment strategies in realistic conditions

DOI10.1016/j.insmatheco.2013.01.001zbMath1284.91262OpenAlexW2009501580MaRDI QIDQ2442525

Jacques Pézier, Johanna Scheller

Publication date: 3 April 2014

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2013.01.001

zbMATH Keywords

jump processesutility theorypension fundstime-changed Brownian motioncapital guarantee productscertainty equivalent returnconstant proportion portfolio insurancedynamic replication in discrete timeoption based portfolio insurance

Mathematics Subject Classification ID

Portfolio theory (91G10)

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