Portfolio insurance: the extreme value approach to the CPPI method

By Philippe Bertrand, Jean-Luc Prigent. 2002

64 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/cdaaf5b560e6beba017853286c93399dbb289322

Citations in the corpus

• Portfolio Insurance Strategies: A Comparison of Standard Methods When the Volatility of the Stock is Stochastic (2003, unknown): “This property can be related to the negativity of the vega of the CPPI (derivative of the CPPI value with respect to the constant volatility) as shown for example in Bertrand and Prigent (2002b).”
• Effectiveness of CPPI Strategies under Discrete-Time Trading (2009, unknown): “The literature also deals with the effects of jump processes, stochastic volatility models and extreme value approaches on the CPPI method, c.f. Bertrand and Prigent (2002b), Bertrand and Prigent (2003).”