Conic CPPIs

DOI10.1142/S0219024918500127zbMATH Open1395.91461OpenAlexW4254405638WikidataQ130102412 ScholiaQ130102412MaRDI QIDQ4634640FDOQ4634640

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

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

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)

Cites Work

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

Cited In (1)

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