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A Tail Measure With Variable Risk Tolerance: Application in Dynamic Portfolio Insurance Strategy |
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| Authors: | Hu Wentao Chen Cuixia Shi Yufeng Chen Ze |
| Institution: | 1.Institute for Financial Studies, Shandong University, Shandanan Road, Jinan, 250100, China ;2.Hebei Finance University, Baoding City, 071051, Hebei Province, China ;3.School of Finance, Renmin University of China, Beijing, 100872, China ;4.China Insurance Institute, Renmin University of China, Beijing, 100872, China ; |
| Abstract: | Methodology and Computing in Applied Probability - Risk measures for tail risk have an important application in the dynamic portfolio insurance strategies. We propose a new risk measure called... |
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