Mathematical foundation of the replicating portfolio approach (Q4583616)
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scientific article; zbMATH DE number 6930174
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Mathematical foundation of the replicating portfolio approach |
scientific article; zbMATH DE number 6930174 |
Statements
Mathematical foundation of the replicating portfolio approach (English)
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31 August 2018
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replicating portfolio
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Solvency II
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MCEV
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risk capital
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cash flow matching
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terminal value matching
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gain-loss ratio
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FTAP
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0.94295883
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0.88742965
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0.8836957
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0.88160396
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0.88119495
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0.87932146
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0.87501526
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