Portfolio Insurance: The Extreme Value Theory of the Cppi Method - Archive ouverte HAL Access content directly
Journal Articles Finance Year : 2001

Portfolio Insurance: The Extreme Value Theory of the Cppi Method

Jean-Luc Prigent
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  • PersonId : 860760
Jean-Pierre Lesne
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hal-01833134 , version 1 (09-07-2018)

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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, 2001. ⟨hal-01833134⟩
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