A tail measure with variable risk tolerance: application in dynamic portfolio insurance strategy (Q2152243)
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scientific article; zbMATH DE number 7554088
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | A tail measure with variable risk tolerance: application in dynamic portfolio insurance strategy |
scientific article; zbMATH DE number 7554088 |
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A tail measure with variable risk tolerance: application in dynamic portfolio insurance strategy (English)
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7 July 2022
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risk measures
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portfolio insurance
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CPPI
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slideVaR
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0.87769306
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0.8736351
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0.8725811
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0.87166286
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0.8641223
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0.86152667
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0.86113405
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