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 "Constant Proportion Port- folio Insurance " (CPPI) method by allowing the multiple to vary. We illustrate our theoretical results for conditional CPPI strategies indexed on...