Hamidi, Benjamin; Maillet, Bertrand B.; Prigent, Jean-Luc - 2009
approach for defining insurance portfolio strategies, we analyze and illustrate a specific dynamic portfolio insurance strategy … the traditional and popular portfolio insurance strategy (Cf. Black and Jones, 1987; Black and Perold, 1992): the so …-called "Constant Proportion Portfolio Insurance" (CPPI). However, financial results produced by this strategy crucially depend upon the …