Multiplier optimization for constant proportion portfolio insurance (cppi) strategy

Olga Biedova, Victoria Steblovskaya

Year of publication:	2020
Authors:	Biedova, Olga ; Steblovskaya, Victoria
Published in:	International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 23.2020, 2, p. 1-22
Subject:	CPPI strategy \| multiplier \| constrained optimization \| gap risk \| bootstrap simulations \| Portfolio-Management \| Portfolio selection \| Theorie \| Theory \| Multiplikator \| Multiplier \| Simulation \| Mathematische Optimierung \| Mathematical programming \| Risiko \| Risk

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