Constant proportion portfolio insurance under a regime switching exponential Lévy process

DOI10.1016/J.INSMATHECO.2013.03.001MaRDI QIDQ2443230zbMATH OpenOpenAlexFDO

Authors Chengguo Weng

Publication date 4 April 2014

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

Full work available at URL https://doi.org/10.1016/j.insmatheco.2013.03.001

zbMATH Keywords

constant proportion portfolio insuranceexponential Lévy processgap riskmatrix exponentialregime switchingshortfall

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

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Cited in

(10)

• On the moments of the integrated geometric Brownian motion
• Equilibrium consumption and portfolio decisions with stochastic discount rate and time-varying utility functions
• Optimization problem of insurance investment based on spectral risk measure and RAROC criterion
• Portfolio strategy of financial market with regime switching driven by geometric Lévy process
• CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES
• Constant proportion portfolio insurance strategies in contagious markets
• Stabilisation in distribution by delay feedback control for stochastic differential equations with Markovian switching and Lévy noise
• Constant proportion performance participation
• Optimal VPPI strategy under omega ratio with stochastic benchmark
• Theoretical foundations of constant-proportion portfolio insurance

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