Optimal Portfolio Allocation under Asset and Surplus VaR Constraints
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More about this item
KeywordsAsset Liability Management; interest rates; Asset VaR constraint; Surplus VaR constraint; Optimal Portfolio.;
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2009-10-24 (All new papers)
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