Author:
Ben Ameur H.,Prigent J.-L.
Subject
Information Systems and Management,Management Science and Operations Research,Modeling and Simulation,General Computer Science,Industrial and Manufacturing Engineering
Reference32 articles.
1. On the coherence of expected shortfall;Acerbi;Journal of Banking and Finance,2002
2. CPPI method with a conditional floor;Ben Ameur;International Journal of Business,2011
3. Portfolio insurance: Gap risk under conditional multiples;Ben Ameur;European Journal of Operational Research,2014
4. Portfolio insurance: the extreme value approach to the CPPI method;Bertrand;Finance,2002
5. Omega performance measure and portfolio insurance;Bertrand;Journal of Banking and Finance,2011
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