MULTIPLIER OPTIMIZATION FOR CONSTANT PROPORTION PORTFOLIO INSURANCE (CPPI) STRATEGY (Q5114681)
From MaRDI portal
scientific article; zbMATH DE number 7214798
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | MULTIPLIER OPTIMIZATION FOR CONSTANT PROPORTION PORTFOLIO INSURANCE (CPPI) STRATEGY |
scientific article; zbMATH DE number 7214798 |
Statements
MULTIPLIER OPTIMIZATION FOR CONSTANT PROPORTION PORTFOLIO INSURANCE (CPPI) STRATEGY (English)
0 references
25 June 2020
0 references
CPPI strategy
0 references
multiplier
0 references
constrained optimization
0 references
gap risk
0 references
bootstrap simulations
0 references
