Best portfolio insurance for long-term investment strategies in realistic conditions
From MaRDI portal
Publication:2442525
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
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
91G10: Portfolio theory
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