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Coherent Distortion Risk Measures in Portfolio Selection
with the decision vector x, to be chosen from a set S ⊆ Rn, and the random vector y ∈ Rm. The vector x represents ... represents what we may generally call a portfolio, with S capturing the set of all feasible portfolios subject ...- Authors: Ken Seng Tan, Mingbin Feng
- Date: Jan 2012
- Competency: External Forces & Industry Knowledge; Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments>Portfolio management - Finance & Investments; Modeling & Statistical Methods; Public Policy
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Asset Prepayment Assumptions
Asset Prepayment Assumptions This session from the 1995 SOA New York Meeting ... considerations when addressing prepayments and the NAIC's FLUX model and the scenario and assumption specifications ...- Authors: Randall Boushek, Catherine Ehrlich, Stephen Reddy, Steve W Abrahams
- Date: May 1995
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments>Portfolio management - Finance & Investments; Public Policy