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Research on optimization strategy of CPPI

Author

Listed:
  • TAWIL, Dima
  • LIU, Xiyang
  • HU, Baoyuan

Abstract

Economic globalization and financial market integration have increased fluctuation in financial markets. Investors expect an investment and wealth management product that can maintain the minimum protection when the price decreases, while it brings profits when the market grows. So the portfolio insurance strategy just meets the investors' requirements. The research analyzes the operation mechanism of CPPI, and then empirically tests the performance and risk of CPPI strategy based on the back-testing method.

Suggested Citation

  • TAWIL, Dima & LIU, Xiyang & HU, Baoyuan, 2018. "Research on optimization strategy of CPPI," MPRA Paper 84624, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:84624
    as

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    File URL: https://mpra.ub.uni-muenchen.de/88703/1/MPRA_paper_88703.pdf
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    References listed on IDEAS

    as
    1. Louis Paulot & Xavier Lacroze, 2009. "One-Dimensional Pricing of CPPI," Papers 0905.2926, arXiv.org, revised Feb 2010.
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      More about this item

      Keywords

      CPPI; operating mechanism; investment and wealth management;
      All these keywords.

      JEL classification:

      • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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