Replicating portfolio approach to capital calculation
Year of publication: |
January 2018
|
---|---|
Authors: | Cambou, Mathieu ; Filipović, Damir |
Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 22.2018, 1, p. 181-203
|
Subject: | Asset-liability portfolio | Chaos expansion | Replicating portfolio | Solvency capital | Theorie | Theory | Portfolio-Management | Portfolio selection |
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