Study on optimization of a dynamic portfolio insurance model

DOI10.3969/J.ISSN.1000-5781.2009.05.007MaRDI QIDQ3052365zbMATH OpenFDO

Authors

Publication date 5 November 2010

Full work available at URL https://doi.org/10.3969/J.ISSN.1000-5781.2009.05.007

zbMATH Keywords

dynamic replicationinvestment strategyoptimizationportfolio insurance

Mathematics Subject Classification ID

Utility theory (91B16) Portfolio theory (91G10)

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Cited in

(8)

• Portfolio insurance and model uncertainty
• A comparative study of portfolio insurance.
• Optimal decision on dynamic insurance price and investment portfolio of an insurer
• Continuous time portfolio optimization
• The payoff distribution model: an application to dynamic portfolio insurance
• Asset dependency structures and portfolio insurance strategies
• Synthetic options, portfolio insurance, and contingent immunization
• Dynamic economic model for optimal investment and insurance

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