| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5077213 | Insurance: Mathematics and Economics | 2011 | 10 Pages |
Abstract
⺠We study a portfolio insurance where a fund manager guarantees that the portfolio value will be above a threshold. ⺠The fund manager pays an initial fee to the bank which refunds, when it is needed, the investor. ⺠In exchange for this protection, the bank imposes a limit on the risk exposure of the fund manager. ⺠We give a full solution to this problem. Explicit results are provided for the entropic and spectral risk measures.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Carmine De Franco, Peter Tankov,