Hamidi, Benjamin; Maillet, Bertrand; Prigent, Jean-Luc - Institut de Préparation à l'Administration et à la … - 2014
Among the most popular techniques for portfolio insurance strategies that are used nowadays, the so-called \Constant Proportion Portfolio In- surance" (CPPI) allocation simply consists in reallocating the risky part of a portfolio according to the market conditions. This general method crucially...