2 papers
q-fin.PR2009
One-Dimensional Pricing of CPPI
Louis Paulot, Xavier Lacroze
Constant Proportion Portfolio Insurance (CPPI) is an investment strategy designed to give participation in the performance of a risky asset while protecting the invested capital. T…
q-fin.CP2009
Efficient Pricing of CPPI using Markov Operators
Louis Paulot, Xavier Lacroze
Constant Proportion Portfolio Insurance (CPPI) is a strategy designed to give participation in a risky asset while protecting the invested capital. Some gap risk due to extreme eve…