We use S&P 500 index return data for the time period 1985–2013 to evaluate the performance of portfolio insurance strategies. We shed light on the question if the performance of a constant proportion portfolio insurance (CPPI) strategy can be improved by means of a time-varying multiplier...

<title>Abstract</title> In this paper we consider the valuation of Bermudan callable derivatives with multiple exercise rights. We present in this context a new primal--dual <italic>linear</italic> Monte Carlo algorithm that allows for efficient simulation of the lower and upper price bounds without using nested simulations...

The paper analyzes the effectiveness of the constant proportion portfolio insurance (CPPI) method under trading restrictions. If the CPPI method is applied in continuous time, the CPPI strategies provide a value above a floor level unless the price dynamics of the risky asset permit jumps. The...