with a guarantee feature that is based on Constant Proportion Portfolio Insurance (CPPI). We derive a closed form formula …

with a guarantee feature that is based on Constant Proportion Portfolio Insurance (CPPI). We derive a closed form formula …

"Constant Proportion Port- folio Insurance " (CPPI) method by allowing the multiple to vary. We illustrate our theoretical … results for conditional CPPI strategies indexed on hedge funds. For this purpose, we provide accurate estimations of hedge …

Proportion Portfolio In- surance" (CPPI) allocation simply consists in reallocating the risky part of a portfolio according to … traditional CPPI setting; we propose in this article an alternative to the standard CPPI method, based on the determination of a … Shortfall. After brie y recalling the portfolio insurance principles, the CPPI framework and the main properties of the …

In this paper, we examine main properties of the Constant Proportion Portfolio Insurance (CPPI) strategy, when trading …

"Constant proportion portfolio insurance" (CPPI) is nowadays one of the most popular techniques for portfolio insurance …-varying multiple as an alternative to the standard unconditional CPPI method, directly linked to actual risk management problematics … properties of the CPPI strategy, including the time-invariant portfolio protection (TIPP) strategy, as introduced by Estep and …

stop loss to classic investments in actuarial reserve funds. CPPI strategies with different leverage factors can be viewed … a CPPI strategy combines the strength of both gap risk minimization and equity ratio maximization. The effect of fees on …