Risk management of time varying floors for dynamic portfolio insurance
H. Ben Ameur, J.-L. Prigent
| Year of publication: |
16 August 2018
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| Authors: | Ben-Ameur, Hatem ; Prigent, Jean-Luc |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 269.2018, 1 (16.8.), p. 363-381
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| Subject: | Portfolio insurance | CPPI | Time varying floor | Ratchet | Margin | Theorie | Theory | Portfolio-Management | Portfolio selection | Hedging | Risikomanagement | Risk management |
| Type of publication: | Article |
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| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2018.01.041 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011864356