On the economic risk capital of portfolio insurance
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 situ...
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| Format: | Article |
| Language: | English |
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Wiley
2004-01-01
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| Series: | International Journal of Mathematics and Mathematical Sciences |
| Online Access: | http://dx.doi.org/10.1155/S0161171204210146 |
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| _version_ | 1832567184589586432 |
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| author | Werner Hürlimann |
| author_facet | Werner Hürlimann |
| author_sort | Werner Hürlimann |
| collection | DOAJ |
| description | 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. |
| format | Article |
| id | doaj-art-a0a38b8cc0a945559c4e8823e266017c |
| institution | Kabale University |
| issn | 0161-1712 1687-0425 |
| language | English |
| publishDate | 2004-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | International Journal of Mathematics and Mathematical Sciences |
| spelling | doaj-art-a0a38b8cc0a945559c4e8823e266017c2025-02-03T01:02:11ZengWileyInternational Journal of Mathematics and Mathematical Sciences0161-17121687-04252004-01-012004412209221810.1155/S0161171204210146On the economic risk capital of portfolio insuranceWerner Hürlimann0Aon Re and IRMG (Switzerland) Ltd., Sternengasse 21, Basel 4010, SwitzerlandA 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.http://dx.doi.org/10.1155/S0161171204210146 |
| spellingShingle | Werner Hürlimann On the economic risk capital of portfolio insurance International Journal of Mathematics and Mathematical Sciences |
| title | On the economic risk capital of portfolio insurance |
| title_full | On the economic risk capital of portfolio insurance |
| title_fullStr | On the economic risk capital of portfolio insurance |
| title_full_unstemmed | On the economic risk capital of portfolio insurance |
| title_short | On the economic risk capital of portfolio insurance |
| title_sort | on the economic risk capital of portfolio insurance |
| url | http://dx.doi.org/10.1155/S0161171204210146 |
| work_keys_str_mv | AT wernerhurlimann ontheeconomicriskcapitalofportfolioinsurance |