Multiplier Optimization For Constant Proportion Portfolio Insurance (Cppi) Strategy
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DOI: 10.1142/S0219024920500119
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Cited by:
- Guohui Guan & Lin He & Zongxia Liang & Litian Zhang, 2024. "Optimal VPPI strategy under Omega ratio with stochastic benchmark," Papers 2403.13388, arXiv.org.
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Keywords
CPPI strategy; multiplier; constrained optimization; gap risk; bootstrap simulations;All these keywords.
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