Optimal asset allocation for participating contracts under short-selling and VaR constraints -- based on the dual perspective of the insurer and the insured (Q6080484)
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scientific article; zbMATH DE number 7745107
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| English | Optimal asset allocation for participating contracts under short-selling and VaR constraints -- based on the dual perspective of the insurer and the insured |
scientific article; zbMATH DE number 7745107 |
Statements
2 October 2023
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participating contract
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short-selling
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dual control
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concavification
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two-VaR constraint
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0.8885690569877625
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0.8282272219657898
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0.8242488503456116
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0.8132573366165161
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0.7995016574859619
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