Portfolio Insurance Contracts Linked to Hedge Funds

We provide a quite general framework for pricing CPPI contracts linked to hedge funds, assessing the gap risk proper to this payoff. We enrich our framework while assuming the existence of a lag between the current estimated NAV and the executed NAV

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Year of publication:	2016
Authors:	Ezzili, Chekib
Publisher:	[2016]: [S.l.] : SSRN
Subject:	Entwicklungstheorie \| Development theory \| Hedgefonds \| Hedge fund \| Portfolio-Management \| Portfolio selection \| Hedging \| Versicherung \| Insurance \| Vertrag \| Contract \| Derivat \| Derivative

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Extent:	1 Online-Ressource (29 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 6, 2009 erstellt
Other identifiers:	10.2139/ssrn.2817614 [DOI]
Classification:	D53 - Financial Markets ; G13 - Contingent Pricing; Futures Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012985854