- Out-of-Stock
Risk Management of CPPI Funds in Switching Regime Markets [extrait BMI 113]
Author : Hainaut Donatien
- Write a review
€50.00
Tax included
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 multiplierAuteurs :Hainaut Donatien
Extrait de la revue BMI 113
BMI113-1104491
New
16 other products in the same category:
Availability: Out of stock
Availability: Out of stock
Sommaire
Articles
- CEO Compensation and Managerial Performance: An Analysis of US Non-Financial Firms
- Calendar Spreads in Commodity Futures Markets, Risk Premium and the Convenience Yield
- Hedge Fund Returns and Factor Models: A Cross Section Approach
Focus On
- A New Classifi cation of Exotic Options
Availability: Out of stock
Sommaire
Articles
- Passive Investing before and after the Crisis: Investors’ views on exchange-traded funds and competing index products
- Stock Volatility, Institutional Ownership and Analyst Coverage
- The Contribution of Emerging Markets to International Diversification
- VaR and Omega Measures for Hedge Funds Portfolios: A Copula Approach
Focus On
- Microcredit Contracts
Availability: Out of stock
Availability: Out of stock
Availability: Out of stock
Sommaire
Articles
- SME Reliance on Bank Debt in France
- Real Estate Brokers: Do they Infl ate Housing Prices?
- Capital Structure Determinants and Convergence
Focus On
- Bank Transparency: a Microeconomic and Macroeconomic Assessment
- How do oil prices affect stock returns in GCC markets? An asymmetric cointegration approach
Availability: Out of stock
Sommaire
Articles
- Capital Protected notes for Loss Averse Investors: a Counterintuitive Result
- The Cost of Accuracy in the Least Squares Monte Carlo Approach
- Success of Shareholder Activism: the French Case
Focus On
- Dividend Policy
Availability: Out of stock
