Portfolio Insurance: The Extreme Value Theory of the Cppi Method
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Other versions of this item:
- Philippe Bertrand & Jean-Luc Prigent, 2002. "Portfolio Insurance: The Extreme Value Theory of the Cppi Method," Post-Print hal-01833122, HAL.
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,"
- João Carvalho & João Beleza Sousa & Raquel M. Gaspar, 2019. "On Path–dependency ofConstant Proportion Portfolio Insurance strategies," Working Papers REM 2019/94, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
- Rudi Zagst & Julia Kraus, 2011. "Stochastic dominance of portfolio insurance strategies," Annals of Operations Research, Springer, vol. 185(1), pages 75-103, May.
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