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D'un multiple conditionnel en assurance de portefeuille : CAViaR pour les gestionnaires ?.
Hamidi, Benjamin
;
Jurczenko, Emmanuel
;
Maillet, Bertrand
-
Centre d'Économie de la Sorbonne, Université Paris 1 …
-
2009
In a Constant Proportion Portfolio Insurance (
CPPI
) framework, a constant risk exposure is defined by the multiple of …
Persistent link: https://www.econbiz.de/10004991605
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