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

Philippe Bertrand
Centre d'Études et de Recherche en Gestion d'Aix-Marseille
Jean-Luc Prigent
  • Function : Author
  • PersonId : 860760
Jean-Pierre Lesne
  • Function : Author

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

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https://hal-amu.archives-ouvertes.fr/hal-01833134

Submitted on : Monday, July 9, 2018-1:47:59 PM

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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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