Constant proportion portfolio insurance under a regime switching exponential Lévy process (Q2443230)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 6279967
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Constant proportion portfolio insurance under a regime switching exponential Lévy process |
scientific article; zbMATH DE number 6279967 |
Statements
Constant proportion portfolio insurance under a regime switching exponential Lévy process (English)
0 references
4 April 2014
0 references
constant proportion portfolio insurance
0 references
regime switching
0 references
exponential Lévy process
0 references
shortfall
0 references
gap risk
0 references
matrix exponential
0 references
0 references
0 references
0 references
0.8054541945457458
0 references
0.7495157718658447
0 references
0.749353289604187
0 references
0.7491818070411682
0 references
0.7477049827575684
0 references
