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Volumn 19, Issue 3, 2009, Pages 379-401

Constant proportion portfolio insurance in the presence of jumps in asset prices

Author keywords

CPPI; CPPI option; Expected loss; Hedging; L vy process; Portfolio insurance; Time changed L vy models; Value at risk

Indexed keywords


EID: 67650851506     PISSN: 09601627     EISSN: 14679965     Source Type: Journal    
DOI: 10.1111/j.1467-9965.2009.00377.x     Document Type: Article
Times cited : (56)

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* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.