Optimal investment for an insurer with cointegrated assets : CRRA utility
Year of publication: |
2013
|
---|---|
Authors: | Chiu, Mei Choi ; Wong, Hoi Ying |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 52.2013, 1, p. 52-64
|
Subject: | Theorie | Theory | Portfolio-Management | Portfolio selection | Risikoaversion | Risk aversion | Risikomaß | Risk measure | Erwartungsnutzen | Expected utility | Kointegration | Cointegration |
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