Zieling, Daniel; Mahayni, Antje; Balder, Sven - In: Journal of Banking & Finance 43 (2014) C, pp. 212-225
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...
