Model-free CPPI
Published in arXiv (Cornell University) • May 25, 2013
Authors:
Alexander Schied
Abstract
We consider Constant Proportion Portfolio Insurance (CPPI) and its dynamic extension, which may be called Dynamic Proportion Portfolio Insurance (DPPI). It is shown that these investment strategies work within the setting of Föllmer's pathwise Itô calculus, which makes no probabilistic assumptions w...
Subject
Finding related papers...
Discussions
(0)No comments yet
Be the first to share your thoughts!