Replicating portfolios: L^1 versus L^2 optimization

DOI10.1007/978-3-319-42902-1_72MaRDI QIDQ4596248zbMATH OpenOpenAlexFDO

Authors Jan Natolski, Ralf Werner

Publication date 1 December 2017

Published in Operations Research Proceedings (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-42902-1_72

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical methods (including Monte Carlo methods) (91G60)

Recommendations

• Mathematical analysis of different approaches for replicating portfolios
• Replicating portfolios in life insurance. Mathematical foundation and analysis
• Mathematical foundation of the replicating portfolio approach
• A large-scale optimization model for replicating portfolios in the life insurance industry
• Replicating portfolio approach to capital calculation

Cited in

(3)

• The practice of portfolio replication. A practical overview of forward and inverse problems
• Replicating portfolio approach to capital calculation
• Mathematical analysis of different approaches for replicating portfolios

This page was built for publication: Replicating portfolios: \(\mathcal L^1\) versus \(\mathcal L^2\) optimization

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4596248)