Ben Ameur, H.; Prigent, J.L. - In: European Journal of Operational Research 236 (2014) 1, pp. 238-253
“Option Based Portfolio Insurance” (OBPI) and Perold (1986) for the “Constant Proportion Portfolio Insurance” method (CPPI … CPPI method when the multiple is allowed to vary over time. To control the risk of such portfolio management, a quantile …