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Risk management of time varying floors for dynamic portfolio insurance

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https://hal-cyu.archives-ouvertes.fr/hal-03679408
Contributor : Jean-Luc Prigent Connect in order to contact the contributor
Submitted on : Thursday, May 26, 2022 - 3:21:34 PM
Last modification on : Tuesday, August 30, 2022 - 5:14:20 PM

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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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