Portfolio insurance: Gap risk under conditional multiples.
Hatem Ben AmeurJean-Luc PrigentPublished in: Eur. J. Oper. Res. (2014)
Keyphrases
- risk management
- portfolio optimization
- portfolio management
- decision making
- investment decisions
- portfolio theory
- decision support system
- risk assessment
- efficient frontier
- risk analysis
- portfolio selection
- risk measures
- market data
- risk factors
- risk averse
- investment strategies
- asset allocation
- real world
- var model
- random field model
- conditional probabilities