Constant proportion portfolio insurance under a regime switching exponential Lévy process
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Publication:2443230
DOI10.1016/j.insmatheco.2013.03.001zbMath1284.91276MaRDI QIDQ2443230
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
regime switching; matrix exponential; gap risk; exponential Lévy process; shortfall; constant proportion portfolio insurance
60G51: Processes with independent increments; Lévy processes
62P05: Applications of statistics to actuarial sciences and financial mathematics
91G10: Portfolio theory
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