Daniel Mantilla-García: We solve for the growth-rate optimal multiplier of a portfolio insurance strategy in the general case with a locally risky reserve asset and stochastic state variables.
Research Associate, EDHEC-Risk InstituteHead of Research & Development, Koris International
|Type :||Working paper|
|Date :||le 07/04/2014|
|Extra information :||For more information, please contact EDHEC Research and Development Department [ firstname.lastname@example.org ]|
|Research Cluster :||Finance|