ANNAERT, J.; OSSELAER, S. VAN; VERSTRAETE, B. - Faculteit Economie en Bedrijfskunde, Universiteit Gent - 2007
performance evaluation of the stop-loss, synthetic put and constant proportion portfolio insurance techniques based on a block-bootstrap … simulation. Apart from more traditional performance measures, we consider the Value-at-risk and Expected Shortfall of the …