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Leland and Rubinstein (1976) have shown that an optional asymmetric performance structure can be attained using portfolio insurance strategies. Thanks to dynamic allocation strategies, insured portfolios are protected against large falls by a contractually guaranteed predetermined fl oor and take partial advantage of market performances. The Constant Proportion Portfolio Insurance (CPPI) introduced by Black and Jones (1987) and Perold and Sharpe (1988) is a dynamic asset allocation strategy between a risky asset and a risk free one that aims to maintain a constant risk exposure. The covered portfolio benefi ts from market rallies and is theoretically protected against market crashes by a predefi ned guaranteed fl oor. The investor limits her downside risk and participates in a given proportion to the market increase.

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