-
Constant Proportion Portfolio Insurance (CPPI) Valuation
- Author(s):
- Tim Xiao (see profile)
- Date:
- 2021
- Group(s):
- Business Management
- Subject(s):
- Economics
- Item Type:
- Presentation
- Tag(s):
- Constant Proportion Portfolio Insurance, CPPI
- Permanent URL:
- http://dx.doi.org/10.17613/z076-gv13
- Abstract:
- A constant proportion portfolio insurance (CPPI) is a trading strategy where an initial investment is dynamically reallocated between a risky asset and risk-free bond such that a minimum payoff is guaranteed at maturity. The risky asset could be from equities, funds, or commodities.
- Notes:
- https://gitlab.com/cmrm11/cppi-valuation/-/raw/master/EqCppi-19.pdf
- Metadata:
- xml
- Status:
- Published
- Last Updated:
- 2 years ago
- License:
- All-Rights-Granted
eqcppi-19.pdf