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Constant proportion portfolio insurance strategies in contagious markets - MaRDI portal

Constant proportion portfolio insurance strategies in contagious markets (Q4554427)

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scientific article; zbMATH DE number 6979464
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Constant proportion portfolio insurance strategies in contagious markets
scientific article; zbMATH DE number 6979464

    Statements

    title
    Constant proportion portfolio insurance strategies in contagious markets (English)
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    author
    Alice Buccioli
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    Thomas Kokholm
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    publication date
    14 November 2018
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    zbMATH Keywords
    self-contagion
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    Hawkes processes
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    gap risk
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    liquidity
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    risk measures
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    cites work
    Q4778955
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    Q5493554
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    Q2869104
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    Q4435813
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    Identifiers

    zbMATH DE Number
    6979464
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    OpenAlex ID
    W2776767460
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