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文章基本信息

  • 标题:On the economic risk capital of portfolio insurance
  • 本地全文:下载
  • 作者:Werner Hürlimann
  • 期刊名称:International Journal of Mathematics and Mathematical Sciences
  • 印刷版ISSN:0161-1712
  • 电子版ISSN:1687-0425
  • 出版年度:2004
  • 卷号:2004
  • 期号:41
  • 页码:2209-2218
  • DOI:10.1155/S0161171204210146
  • 出版社:Hindawi Publishing Corporation
  • 摘要:

    A formula for the conditional value-at-risk of classical portfolio insurance is derived and shown to be constant for sufficiently small loss probabilities. As illustrations, we discuss portfolio insurance for an equity market index using empirical data, and analyze the more general multivariate situation of a portfolio of risky assets.

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