Portfolio insurance under a risk-measure constraint
Year of publication: |
2011
|
---|---|
Authors: | De Franco, Carmine ; Tankov, Peter |
Published in: |
Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 49.2011, 3, p. 361-370
|
Publisher: |
Elsevier |
Subject: | Portfolio insurance | Utility maximization | Convex risk measures | Spectral risk measure | Entropic risk measure |
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