CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES (Q3393977): Difference between revisions

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Latest revision as of 21:42, 1 July 2024

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CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES
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    CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES (English)
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    28 August 2009
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    portfolio insurance
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    CPPI
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    Lévy process
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    time-changed Lévy models
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    hedging
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    CPPI option
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    value at risk
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    expected loss
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