Risk management of time varying floors for dynamic portfolio insurance

H. Ben Ameur and Jean-Luc Prigent

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Date: 2018-08
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Published in European Journal of Operational Research, 2018, 269 (1), pp.363-381. ⟨10.1016/j.ejor.2018.01.041⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-03679408

DOI: 10.1016/j.ejor.2018.01.041

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