Benjamin Hamidi

Université Paris I Panthéon-Sorbonne - CES/CNRS

106 bv de l'Hôpital

Paris, 75013

France

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A Risk Management Approach for Portfolio Insurance Strategies

Proceedings of the 1st EIF International Financial Research Forum, Economica, 2009
Number of pages: 15 Posted: 27 Oct 2008 Last Revised: 10 Jun 2009
Benjamin Hamidi, Bertrand B. Maillet and Jean-Luc Prigent
Université Paris I Panthéon-Sorbonne - CES/CNRS, University of Orléans and University of Cergy-Pontoise - ThEMA
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Abstract:

CPPI, Portfolio Insurance, VaR, CAViaR, Quantile Regression, Dynamic Quantile Model, Expected Shortfall, Extreme Value