Optimal asset allocation for participating contracts under the VaR and PI constraint (Q5217902)
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scientific article; zbMATH DE number 7174571
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| default for all languages | No label defined |
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| English | Optimal asset allocation for participating contracts under the VaR and PI constraint |
scientific article; zbMATH DE number 7174571 |
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Optimal asset allocation for participating contracts under the VaR and PI constraint (English)
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26 February 2020
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participating contract
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value-at-risk
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portfolio insurance
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Lagrange dual method
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concavification
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0.8944242000579834
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0.8764680624008179
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0.8500372767448425
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0.8005087971687317
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0.8000971674919128
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