Market value margin via mean-variance hedging

Thumbnail
Metadata only
Author
Tsanakas, Andreas
Wüthrich, Mario V.
Cerny, Ales
Date
2013
Type
    Journal Article
Publication status
published
External links
Search via SFX
Journal / series
Astin bulletin
Volume
43(3)
Pages / Article No.
301 - 322
Publisher
Cambridge University Press
Subject
Market value margin; Mean-variance hedging; Market consistent valuation; Cost-of-capital; Solvency II
Organisational unit
08813 - Wüthrich, Mario Valentin (Tit.-Prof.)  
Notes
.
More
Show all metadata
ETH Bibliography
yes
Altmetrics