Structured products such as constant proportion portfolio insurance (CPPI) have been a popular product for retail investors. This research investigates the after tax return of CPPI using internal rate of return (IRR) and assuming an average cost accounting system. Using this statistic, we apply...

We demonstrate how arbitrarily sized long/short baskets whose portfolio value is modelled with spread or ratio of any asset weighting can be treated as a sequential stopping problem. In particular, when the underlying data generating process follows an Ornstein-Uhlenbeck, Cox-Ingersoll-Ross or...