Portfolio insurance: Gap risk under conditional multiples - CY Cergy Paris Université
Journal Articles European Journal of Operational Research Year : 2014

Portfolio insurance: Gap risk under conditional multiples

Jean-Luc Prigent
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Théorie économique, modélisation et applications
H. Ben Ameur
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J.L. Prigent
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Mathematics [math] Humanities and Social Sciences Statistics [stat] Quantitative Finance [q-fin]

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https://cyu.hal.science/hal-03679707

Submitted on : Friday, May 27, 2022-12:13:15 AM

Last modification on : Friday, April 19, 2024-3:04:55 PM

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hal-03679707 , version 1 (27-05-2022)

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Jean-Luc Prigent, H. Ben Ameur, J.L. Prigent. Portfolio insurance: Gap risk under conditional multiples. European Journal of Operational Research, 2014, 236 (1), pp.238-253. ⟨10.1016/j.ejor.2013.11.027⟩. ⟨hal-03679707⟩

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