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Portfolio Insurance: The Extreme Value Theory of the Cppi Method

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https://hal-amu.archives-ouvertes.fr/hal-01833122
Contributor : Imane Mohat <>
Submitted on : Monday, July 9, 2018 - 1:43:31 PM
Last modification on : Monday, January 6, 2020 - 5:50:13 PM

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  • HAL Id : hal-01833122, version 1

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Philippe Bertrand, Jean-Luc Prigent. Portfolio Insurance: The Extreme Value Theory of the Cppi Method. Finance, Presses universitaires de Grenoble, 2002. ⟨hal-01833122⟩

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