The Viabilist Portfolio Performance and Insurance Approach

Jean-Pierre Aubin (), Luxi Chen and Olivier Dordan
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Jean-Pierre Aubin: Viabilité, Marchés, Automatique et Décision (VIMADES)
Luxi Chen: Viabilité, Marchés, Automatique et Décision (VIMADES)
Olivier Dordan: Viabilité, Marchés, Automatique et Décision (VIMADES)

Chapter Chapter 1 in Tychastic Measure of Viability Risk, 2014, pp 3-25 from Springer

Abstract: Abstract We propose in this book a “tychastic viabilist” approach for solving such problems (1) taking into account the “viability” constraint that the value of portfolio is always above a floor (liabilities, variable annuities, etc. (2) using the “tychastic” approach to translate mathematically the concept of uncertainty.

Keywords: Risky Asset; Exercise Period; Management Rule; Riskless Asset; Exercise Date (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-319-08129-8_1

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DOI: 10.1007/978-3-319-08129-8_1

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