Portfolio Insurance : The extreme Value of the CCPI Method
Download full text from publisher
References listed on IDEAS
- Jansen, Dennis W & de Vries, Casper G, 1991.
"On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective,"
The Review of Economics and Statistics,
MIT Press, vol. 73(1), pages 18-24, February.
- Dennis W. Jansen & Casper de Vries, 1988. "On the frequency of large stock returns: putting booms and busts into perspective," Working Papers 1989-006, Federal Reserve Bank of St. Louis.
- Jean-Luc Prigent, 2001.
"Option Pricing with a General Marked Point Process,"
Mathematics of Operations Research,
INFORMS, vol. 26(1), pages 50-66, February.
- Prigent, J.L., 1997. "Option Pricing with a General Market Point Process," Papers 9736, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor..
- J. L. Prigent, 1997. "Option pricing with a general marked point process," THEMA Working Papers 97-36, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- J.L. Prigent, 1999. "Optimality of portfolio insurance The extended CPPI method," THEMA Working Papers 99-48, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Longin, Francois M, 1996. "The Asymptotic Distribution of Extreme Stock Market Returns," The Journal of Business, University of Chicago Press, vol. 69(3), pages 383-408, July.
- Hans FÃllmer & Peter Leukert, 1999. "Quantile hedging," Finance and Stochastics, Springer, vol. 3(3), pages 251-273.
- Black, Fischer & Perold, AndreF., 1992. "Theory of constant proportion portfolio insurance," Journal of Economic Dynamics and Control, Elsevier, vol. 16(3-4), pages 403-426.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Raquel M. Gaspar, 2016. "On Path–dependency of Constant Proportion Portfolio Insurance strategies," EcoMod2016 9381, EcoMod.
- repec:hal:journl:halshs-00389789 is not listed on IDEAS
- Libo Yin & Liyan Han, 2015. "Hedging International Foreign Exchange Risks via Option Based Portfolio Insurance," Computational Economics, Springer;Society for Computational Economics, vol. 45(1), pages 151-181, January.
- Hamidi, Benjamin & Maillet, Bertrand & Prigent, Jean-Luc, 2014.
"A dynamic autoregressive expectile for time-invariant portfolio protection strategies,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 46(C), pages 1-29.
- Benjamin HAMIDI & Bertrand MAILLET & Jean-Luc PRIGENT, 2013. "A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies," LEO Working Papers / DR LEO 164, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
- Benjamin Hamidi & Bertrand Maillet & Jean-Luc Prigent, 2014. "A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies," Working Papers halshs-01015390, HAL.
- Benjamin Hamidi & Bertrand Maillet & Jean-Luc Prigent, 2014. "A dynamic autoregressive expectile for time-invariant portfolio protection strategies," Post-Print hal-01697643, HAL.
- Benjamin Hamidi & Bertrand Maillet & Jean-Luc Prigent, 2014. "A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies," Working Papers 2014-131, Department of Research, Ipag Business School.
- Farid MKAOUAR & Jean-luc PRIGENT, 2014. "Constant Proportion Portfolio Insurance under Tolerance and Transaction Costs," Working Papers 2014-303, Department of Research, Ipag Business School.
- Louis Paulot & Xavier Lacroze, 2009. "One-Dimensional Pricing of CPPI," Papers 0905.2926, arXiv.org, revised Feb 2010.
- repec:spr:annopr:v:262:y:2018:i:2:d:10.1007_s10479-016-2121-8 is not listed on IDEAS
- Sami Attaoui & Vincent Lacoste, 2013. "A scenario-based description of optimal American capital guaranteed strategies," Finance, Presses universitaires de Grenoble, vol. 34(2), pages 65-119.
- Louis Paulot & Xavier Lacroze, 2009. "Efficient Pricing of CPPI using Markov Operators," Papers 0901.1218, arXiv.org.
- repec:ipg:wpaper:2014-509 is not listed on IDEAS
- Lan-chih Ho & John Cadle & Michael Theobald, 2011. "An analysis of risk-based asset allocation and portfolio insurance strategies," Review of Quantitative Finance and Accounting, Springer, vol. 36(2), pages 247-267, February.
- Jacques Pézier & Johanna Scheller, 2011. "A Comprehensive Evaluation of Portfolio Insurance Strategies," ICMA Centre Discussion Papers in Finance icma-dp2011-15, Henley Business School, Reading University.
- Naceur Naguez & Jean-Luc Prigent, 2014. "Dynamic Portfolio Insurance Strategies: Risk Management under Johnson Distributions," Working Papers 2014-329, Department of Research, Ipag Business School.
More about this item
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2001-10-22 (All new papers)
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ema:worpap:2000-49. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Stefania Marcassa). General contact details of provider: http://edirc.repec.org/data/themafr.html .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.