Hamidi, Benjamin; Maillet, Bertrand; Prigent, Jean-Luc - Institut de Préparation à l'Administration et à la … - 2014
Proportion Portfolio In- surance" (CPPI) allocation simply consists in reallocating the risky part of a portfolio according to … traditional CPPI setting; we propose in this article an alternative to the standard CPPI method, based on the determination of a … Shortfall. After brie y recalling the portfolio insurance principles, the CPPI framework and the main properties of the …