Archive

  • Revisiting replicating portfolios

    14 November 2014

    The benefits of using orthogonal calibration with principal component analysis of the candidate assets when calibrating a replicating portfolio are explained by Alexey Botvinnik, Dr Mario Hoerig, Dr Florian Ketterer, Alexander Tazov and Florian Wechsung

Cookies on Insurance Asset Risk

This site uses cookies. By continuing to browse the site you are agreeing to our use of cookies. Find out more here