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Portfolio Insurance and model uncertainty
Minimum-wealth or income- stream guarantee Model uncertainty Portfolio Insurance Portfolio selection
2011/9/16
Some real-world insurance products contain a minimum-wealth or an income-stream guarantee, both of which have to he met irrespective of capital market conditions. Therefore, sellers of such products a...
Construction Risks: Single versus Portfolio Insurance
California Construction management Insurance Risk management
2011/9/7
Risks and uncertainties are naturally inherent in the construction industry and negatively affect contracting parties and executed projects. This paper explores the possibility of insuring against con...
Portfolio Insurance under a risk-measure constraint
Portfolio insurance Utility maximization Convex risk measures CVaR entropic risk measure
2011/3/23
We study the problem of portfolio insurance from the point of view of a fund manager, who guarantees to the investor that the portfolio value at maturity will be above a fixed threshold.
Max-Plus decomposition of supermartingales and convex order. Application to American options and portfolio insurance
Max-Plus decomposition supermartingales convex order Application American options portfolio insurance
2010/12/17
We are concerned with a new type of supermartingale decomposition in the Max-Plus algebra, which essentially consists in expressing any supermartingale of class $(\mathcal{D})$ as a conditional expec...