Portfolio insurance: Gap risk under conditional multiples

Jean-Luc Prigent, H. Ben Ameur and J.L. Prigent

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Date: 2014-07
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Published in European Journal of Operational Research, 2014, 236 (1), pp.238-253. ⟨10.1016/j.ejor.2013.11.027⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-03679707

DOI: 10.1016/j.ejor.2013.11.027

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