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Portfolio Insurance: The Extreme Value Theory of the Cppi Method

Philippe Bertrand 1 Jean-Luc Prigent Jean-Pierre Lesne
1 CERGAM - Centre d'Études et de Recherche en Gestion d'Aix-Marseille
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https://hal-amu.archives-ouvertes.fr/hal-01833134
Contributor : Imane Mohat Connect in order to contact the contributor
Submitted on : Monday, July 9, 2018 - 1:47:59 PM
Last modification on : Friday, October 22, 2021 - 3:36:33 AM

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  • HAL Id : hal-01833134, version 1

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Philippe Bertrand, Jean-Luc Prigent, Jean-Pierre Lesne. Portfolio Insurance: The Extreme Value Theory of the Cppi Method. Finance, Presses universitaires de Grenoble, 2001. ⟨hal-01833134⟩

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