Constant proportion portfolio insurance strategies in contagious markets
Author:
Affiliation:
1. Department of Economics and Business Economics, Aarhus University, Fuglesangs Allé 4, 8210Aarhus V, Denmark.
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
https://www.tandfonline.com/doi/pdf/10.1080/14697688.2017.1403157
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1. Modeling financial contagion using mutually exciting jump processes
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