Portfolio Insurance: The Extreme Value Theory of the Cppi Method

Journal Articles Finance Year : 2002

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Philippe Bertrand

Jean-Luc Prigent

Quantitative Finance [q-fin] General Finance [q-fin.GN]

https://hal-amu.archives-ouvertes.fr/hal-01833122

Submitted on : Monday, July 9, 2018-1:43:31 PM

Last modification on : Thursday, July 14, 2022-4:08:00 AM

hal-01833122 , version 1 (09-07-2018)

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