Constant Proportion Portfolio Insurance: Discrete-time Trading and Gap Risk Coverage

Cathrine Jessen

Research output: Contribution to conference › Paper › Research › peer-review

Original language	English
Publication date	8 Dec 2010
Number of pages	24
Publication status	Published - 8 Dec 2010
Event	The 23rd Australasian Finance and Banking Conference 2010 - Sydney, Australia Duration: 15 Dec 2010 → 17 Dec 2010 Conference number: 23

Conference	The 23rd Australasian Finance and Banking Conference 2010
Number	23
Country/Territory	Australia
City	Sydney
Period	15/12/2010 → 17/12/2010

Access to Document

@conference{4c2a2e1b3d954f5b8caab4a3b9abe9eb,

title = "Constant Proportion Portfolio Insurance: Discrete-time Trading and Gap Risk Coverage",

keywords = "CPPI, Gap risk, Discrete portfolio rebalancing, Sortino ratio, Expected utility maximization",

author = "Cathrine Jessen",

year = "2010",

month = dec,

day = "8",

language = "English",

note = "null ; Conference date: 15-12-2010 Through 17-12-2010",

}