On the economic risk capital of portfolio insurance (Q1777685)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: On the economic risk capital of portfolio insurance |
scientific article; zbMATH DE number 2171585
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | On the economic risk capital of portfolio insurance |
scientific article; zbMATH DE number 2171585 |
Statements
On the economic risk capital of portfolio insurance (English)
0 references
25 May 2005
0 references
Summary: A formula for the conditional value-at-risk of classical portfolio insurance is derived and shown to be constant for sufficiently small loss probabilities. As illustrations, we discuss portfolio insurance for an equity market index using empirical data, and analyze the more general multivariate situation of a portfolio of risky assets.
0 references
0.8193526864051819
0 references
0.80648273229599
0 references
0.8001742959022522
0 references
0.7911121845245361
0 references
0.7864080667495728
0 references
