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Portfolio Insurance: The Extreme Value Theory of the Cppi Method

Author

Listed:
  • Philippe Bertrand

    (CERGAM - Centre d'Études et de Recherche en Gestion d'Aix-Marseille - AMU - Aix Marseille Université - UTLN - Université de Toulon)

  • Jean-Luc Prigent
  • Jean-Pierre Lesne

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Suggested Citation

  • Philippe Bertrand & Jean-Luc Prigent & Jean-Pierre Lesne, 2001. "Portfolio Insurance: The Extreme Value Theory of the Cppi Method," Post-Print hal-01833134, HAL.
    • Handle: RePEc:hal:journl:hal-01833134
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    Cited by:

    1. Raquel M. Gaspar, 2016. "On Path–dependency of Constant Proportion Portfolio Insurance strategies," EcoMod2016 9381, EcoMod.
    2. 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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