MULTIPLIER OPTIMIZATION FOR CONSTANT PROPORTION PORTFOLIO INSURANCE (CPPI) STRATEGY

DOI10.1142/S0219024920500119zbMath1444.91195MaRDI QIDQ5114681

Olga Biedova, Victoria Steblovskaya

Publication date: 25 June 2020

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

zbMATH Keywords

constrained optimizationmultipliergap riskbootstrap simulationsCPPI strategy

Mathematics Subject Classification ID

Portfolio theory (91G10) Actuarial mathematics (91G05)

Related Items (1)

ASSET DEPENDENCY STRUCTURES AND PORTFOLIO INSURANCE STRATEGIES

Cites Work

• Stochastic dominance of portfolio insurance strategies OBPI versus CPPI
• Benchmarking, portfolio insurance and technical analysis: a Monte Carlo comparison of dynamic strategies of asset allocation
• A dynamic autoregressive expectile for time-invariant portfolio protection strategies
• Effectiveness of CPPI strategies under discrete-time trading
• Best portfolio insurance for long-term investment strategies in realistic conditions

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