Conic CPPIs

DOI10.1142/S0219024918500127MaRDI QIDQ4634640zbMATH OpenOpenAlexWikidataFDO

Authors Ine Marquet, Wim Schoutens

Publication date 11 April 2018

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024918500127

zbMATH Keywords

CPPIdistorted expectationstrading strategyconic finance

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• One-dimensional pricing of CPPI
• Model-free CPPI
• Multiplier optimization for constant proportion portfolio insurance (CPPI) strategy
• Theory of constant proportion portfolio insurance
• CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES

Cites work

• Applied conic finance
• Benchmarking, portfolio insurance and technical analysis: a Monte Carlo comparison of dynamic strategies of asset allocation
• CONIC TRADING IN A MARKOVIAN STEADY STATE
• CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES
• Simulation-based algorithms for Markov decision processes
• Theory of constant proportion portfolio insurance

Cited in

(1)

• scientific article; zbMATH DE number 5383507 (Why is no real title available?)

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