Constant proportion portfolio insurance in presence of jumps in asset prices
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Other versions of this item:
- Rama Cont & Peter Tankov, 2007. "Constant Proportion Portfolio Insurance in presence of Jumps in Asset Prices," Working Papers hal-00129413, HAL.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- 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.
- Chris Kenyon & Andrew Green, 2016. "Option-Based Pricing of Wrong Way Risk for CVA," Papers 1609.00819, arXiv.org, revised Oct 2016.
- Branger, Nicole & Mahayni, Antje & Schneider, Judith C., 2010. "On the optimal design of insurance contracts with guarantees," Insurance: Mathematics and Economics, Elsevier, vol. 46(3), pages 485-492, June.
- 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.
- De Franco, Carmine & Tankov, Peter, 2011.
"Portfolio insurance under a risk-measure constraint,"
Insurance: Mathematics and Economics,
Elsevier, vol. 49(3), pages 361-370.
- Carmine De Franco & Peter Tankov, 2011. "Portfolio Insurance under a risk-measure constraint," Papers 1102.4489, arXiv.org.
- Louis Paulot & Xavier Lacroze, 2009. "Efficient Pricing of CPPI using Markov Operators," Papers 0901.1218, arXiv.org.
- Dorn, Jochen, 2010. "Modeling of CPDOs - Identifying optimal and implied leverage," Journal of Banking & Finance, Elsevier, vol. 34(6), pages 1371-1382, June.
- Raquel M. Gaspar, 2016. "On Path–dependency of Constant Proportion Portfolio Insurance strategies," EcoMod2016 9381, EcoMod.
- Louis Paulot & Xavier Lacroze, 2009. "One-Dimensional Pricing of CPPI," Papers 0905.2926, arXiv.org, revised Feb 2010.
- Alexandre Hocquard & Nicolas Papageorgiou & Bruno Remillard, 2015. "The payoff distribution model: an application to dynamic portfolio insurance," Quantitative Finance, Taylor & Francis Journals, vol. 15(2), pages 299-312, February.
- Sami Attaoui & Vincent Lacoste, 2013. "A scenario-based description of optimal American capital guaranteed strategies," Post-Print hal-00867667, HAL.
- repec:spr:annopr:v:260:y:2018:i:1:d:10.1007_s10479-017-2638-5 is not listed on IDEAS
More about this item
Keywordsportfolio insurance • CPPI • Lévy process • time-changed Lévy models • hedging • CPPI option • value at risk • expected loss;
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