Theory of Performance Participation Strategies
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References listed on IDEAS
- Philippe Bertrand & Jean-Luc Prigent, 2005. "Portfolio Insurance Strategies: OBPI versus CPPI," Post-Print hal-01833077, HAL.
- Margrabe, William, 1978. "The Value of an Option to Exchange One Asset for Another," Journal of Finance, American Finance Association, vol. 33(1), pages 177-186, March.
- Snorre Lindset, 2004. "Relative Guarantees," The Geneva Papers on Risk and Insurance Theory, Springer;International Association for the Study of Insurance Economics (The Geneva Association), vol. 29(2), pages 187-209, December.
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- Bahaji, Hamza, 2014. "Equity portfolio insurance against a benchmark: Setting, replication and optimality," Economic Modelling, Elsevier, vol. 40(C), pages 382-391.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-RMG-2013-03-02 (Risk Management)
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