Ben Ameur, H.; Prigent, J.L. - In: European Journal of Operational Research 236 (2014) 1, pp. 238-253
The research on financial portfolio optimization has been originally developed by Markowitz (1952). It has been further extended in many directions, among them the portfolio insurance theory introduced by Leland and Rubinstein (1976) for the “Option Based Portfolio Insurance” (OBPI) and...
