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Pricing Constant Proportion Portfolio Insurance

descriptionPublicationkeyboard_double_arrow_right Presentation , Other literature type 29 Mar 2021 English Publisher:Zenodo
Authors: David Lee;

doi: 10.5281/zenodo.4645826 , 10.5281/zenodo.7803356 , 10.5281/zenodo.4645827

Pricing Constant Proportion Portfolio Insurance

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.

https://ia803406.us.archive.org/32/items/eq-cppi-19/EqCppi-archive.pdf

Keywords

constant proportion portfolio insurance, CPPI, CPPI valuation

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This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
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popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
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influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
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impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
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