Lee, Huai-I.; Chiang, Min-Hsien; Hsu, Hsinan - In: Applied Economics 40 (2008) 16, pp. 2135-2146
The constant proportion portfolio insurance (CPPI) achieves the advantage of simplicity due to its constant multiple. However, a dynamic multiple could improve the effectiveness of portfolio management. In this article, we provide a complete and detailed examination of the mechanism of variable...