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Portfolio insurance: Gap risk under conditional multiples

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https://hal-cyu.archives-ouvertes.fr//hal-03679707
Contributor : Jean-Luc Prigent Connect in order to contact the contributor
Submitted on : Friday, May 27, 2022 - 12:13:15 AM
Last modification on : Friday, May 27, 2022 - 3:53:36 PM

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Jean-Luc Prigent, H. Ben Ameur, J.L. Prigent. Portfolio insurance: Gap risk under conditional multiples. European Journal of Operational Research, Elsevier, 2014, 236 (1), pp.238-253. ⟨10.1016/j.ejor.2013.11.027⟩. ⟨hal-03679707⟩

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