Mkaouar, Farid; Prigent, Jean-Luc - Institut de Préparation à l'Administration et à la … - 2014
In this paper, we examine main properties of the Constant Proportion Portfolio Insurance (CPPI) strategy, when trading in continuous-time is not allowed. We focus instead on stochastic-time rebalancing. We prove that investor's tolerance determines crucially portfolio performance, in particular...