Balder, Sven; Brandl, Michael; Mahayni, Antje - In: Journal of Economic Dynamics and Control 33 (2009) 1, pp. 204-220
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...
