Hamidi, Benjamin; Maillet, Bertrand; Prigent, Jean-Luc - In: Journal of Economic Dynamics and Control 46 (2014) C, pp. 1-29
“Constant proportion portfolio insurance” is a popular technique among portfolio insurance strategies: the risky part of a portfolio is reallocated with respect to market conditions, via a fixed parameter (the multiple), guaranteeing a predetermined floor. We propose here to use a...