• Out-of-Stock

Risk Management of CPPI Funds in Switching Regime Markets [extrait BMI 113]

Author : Hainaut Donatien
€50.00
Tax included
Quantity
Add to wishlist
Out-of-Stock

Version numérique PDF

The constant proportion portfolio insurance is a dynamic strategy of investment protecting a fund against a fall of its market value below a predetermined floor. In this work, we revisit the CPPI under the assumption that the risky asset is a stochastic process whose the average return and volatility Jump from one set of values to another one. After having reviewed the calibration procedure, we first propose analytical formulas to infer the first four centered moments, of a CPPI fund. Next, we show how the Value At Risk and the Tail VaR can be retrieved by inversion of the Fourier transform of the characteristic function of the return density. We end this article by an application to a CPPI fund tracking the CAC 40 index and show the importance on the multiplier

Auteurs :Hainaut Donatien
Extrait de la revue BMI 113

BMI113-1104491
New

16 other products in the same category:

Bankers, Markets &...
  • Out-of-Stock
Availability: Out of stock

Sommaire

Articles

  • Comparing the Value Relevance of Earnings and Book Value in IFRS and GAAP Standards
  • Credit Risk Evaluation: The Econometric vs the Structural Approach
  • The Fund Synthetic Index: An Alternative Benchmark for Mutual Funds
  • Corporate Governance and Performance of French Listed Companies

Focus On

  • Symmetric vs. Downside Risk Measures in Portfolio Decisions
This website uses cookies to ensure you get the best experience on our website