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Extensions of the CPPI Strategy


Marketed By :  AV Akademikerverlag   Sold By :  Kamal Books International  
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  • Product Description

Constant proportion portfolio insurance (CPPI) is a dynamic portfolio insurance strategy. In the CPPI structure the investor’s downside risk is limited while retaining some upside potential if the market performs well. This work introduces the basic CPPI model and explains its main features. On this basis of this model some extensions of the CPPI structure are suggested and discussed. They consist of a variable bond floor, a dynamic leverage, diversification in the underlying risky asset (two risky assets), levered positions in the risky asset and an investment strategy that diversifies over time. Simulations of these new CPPI models show that most of them do not outperform the basic model in terms of performance but they show better results in terms of reduced volatility. The only extension that results in an improved Sharpe ratio diversifies the risky asset allocation to more than one risky asset. The effect of diversification shows and the extended CPPI model outperforms the basic CPPI.

Product Specifications
SKU :COC62880
AuthorChristina Diener
Number of Pages92
Publishing Year2013-05-11T00:00:00.000
Edition1 st
Book TypeBanking & finance: study & revision guides
Country of ManufactureIndia
Product BrandAV Akademikerverlag
Product Packaging InfoBox
In The Box1 Piece
Product First Available On ClickOnCare.com2015-07-08 00:00:00
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