Portfolio choices and VaR constraint with a defaultable asset

DOI10.1080/14697688.2013.871643zbMath1398.91501OpenAlexW3121819133MaRDI QIDQ4683102

Andrea Cosso, Emilio Basrucci

Publication date: 19 September 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2013.871643

zbMATH Keywords

regulationoptimal portfolioVaRCEV

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Related Items

Equilibrium investment strategy for DC pension plan with default risk and return of premiums clauses under CEV model ⋮ Robust non-zero-sum investment and reinsurance game with default risk

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