Best portfolio insurance for long-term investment strategies in realistic conditions

DOI10.1016/j.insmatheco.2013.01.001zbMath1284.91262MaRDI QIDQ2442525

Jacques Pézier, Johanna Scheller

Publication date: 3 April 2014

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2013.01.001

zbMATH Keywords

jump processes; utility theory; pension funds; time-changed Brownian motion; capital guarantee products; certainty equivalent return; constant proportion portfolio insurance; dynamic replication in discrete time; option based portfolio insurance

Mathematics Subject Classification ID

91G10: Portfolio theory

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