Naguez, Naceur; Prigent, Jean-Luc - Institut de Préparation à l'Administration et à la … - 2014
The purpose of this paper is to analyze the gap risk of dynamic portfo- lio insurance strategies which generalize the … dy- namics of risky logreturns. We use both VaR and Expected Shortfall as downside risk measures to control gap risk. We … provide accurate upper bounds on the multiple in order to limit this gap risk. We illustrate our theoretical results on Credit …