Hamidi, Benjamin; Maillet, Bertrand; Prigent, Jean-Luc - HAL - 2014
"Constant proportion portfolio insurance" (CPPI) is nowadays one of the most popular techniques for portfolio insurance …-varying multiple as an alternative to the standard unconditional CPPI method, directly linked to actual risk management problematics … properties of the CPPI strategy, including the time-invariant portfolio protection (TIPP) strategy, as introduced by Estep and …