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 …

"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 …