Optimal portfolio allocation under asset and surplus VaR constraints
Year of publication: |
2008
|
---|---|
Authors: | Monfort, Alain |
Published in: |
The journal of asset management. - Basingstoke : Palgrave Macmillan, ISSN 1470-8272, ZDB-ID 2209717-X. - Vol. 9.2008/09, 3, p. 178-192
|
Subject: | Versicherung | Insurance | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Zinsstruktur | Yield curve |
-
Optimal portfolio allocation under asset and surplus VaR constraints
Monfort, Alain, (2009)
-
Introducing global term structure in a risk parity framework
Stagnol, Lauren, (2017)
-
Term structure and cyclicity of value-at-risk : consequences for the solvency capital requirement
Bec, Frédérique, (2009)
- More ...
-
Kernel M-estimators : non-parametric diagnostics for structural models
Gouriéroux, Christian, (1994)
-
Testing, encompassing and simulating dynamic econometric models
Gouriéroux, Christian, (1994)
-
Indirect inference for stochastic differential equations
Gouriéroux, Christian, (1994)
- More ...