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Journal Articles European Journal of Operational Research Year : 2018

Risk management of time varying floors for dynamic portfolio insurance

H. Ben Ameur
  • Function : Author
Jean-Luc Prigent
  • Function : Author
  • PersonId : 1134801
Théorie économique, modélisation et applications

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Mathematics [math] Humanities and Social Sciences Statistics [stat] Quantitative Finance [q-fin]

Jean-Luc Prigent  : Connect in order to contact the contributor

https://hal-cyu.archives-ouvertes.fr/hal-03679408

Submitted on : Thursday, May 26, 2022-3:21:34 PM

Last modification on : Friday, March 24, 2023-2:53:27 PM

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hal-03679408 , version 1 (26-05-2022)

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H. Ben Ameur, Jean-Luc Prigent. Risk management of time varying floors for dynamic portfolio insurance. European Journal of Operational Research, 2018, 269 (1), pp.363-381. ⟨10.1016/j.ejor.2018.01.041⟩. ⟨hal-03679408⟩

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