Research on optimization strategy of CPPI

Hu, Baoyuan and Tawil, Dima and Liu, Xiyang (2018): Research on optimization strategy of CPPI. Published in: Journal of Economic Literature , Vol. 54, No. Issue 3

Abstract

Economic globalization and financial market integration have increased fluctuation in financial markets. Investors expect an investment and wealth management product that can maintain the minimum protection when the price decreases, while it brings profits when the market grows. So the portfolio insurance strategy just meets the investors' requirements. The research analyzes the operation mechanism of CPPI, and then empirically tests the performance and risk of CPPI strategy based on the back-testing method.

• Item Type: MPRA Paper
• Language: English
• Keywords: CPPI; operating mechanism; investment and wealth management
• Subjects: G - Financial Economics > G1 - General Financial Markets > G11 - Portfolio Choice ; Investment Decisions

References

[1]Louis P., Xavier L.(2010) One-Dimensional Pricing of CPPI[J]. Social Science Electronic Publishing, 2010, 18(3):207-225.

[2]Chen J S, Liao B P. (2007). Nonlinear Goal-Directed CPPI Strategy[M]//Computational Intelligence in Economics and Finance. Springer Berlin Heidelberg, 2007:857-869.

[3]Joossens E, Schoutens(2015) W. PORTFOLIO INSURANCES, CPPI AND CPDO, TRUTH OR ILLUSION?[J]. Alternative Investments & Strategies, 2015.

[4]Joossens E, Schoutens W. (2015) PORTFOLIO INSURANCES, CPPI AND CPDO, TRUTH OR ILLUSION?[J]. Alternative Investments & Strategies, 2015.

[5]Chen J S, Liao B P. (2007) Piecewise nonlinear goal-directed CPPI strategy[J]. Expert Systems with Applications, 2007, 33(4):857-869.

[6]Moresi S, Reitman D, Salop S C, et al. (2011) Gauging Parallel Accommodating Conduct Concerns with the CPPI[J]. Social Science Electronic Publishing, 2011.

[7]Null N. (2009) Efficient Pricing of CPPI using Markov Operators[J]..

[8]Joossens E, Schoutens W.(2010) PORTFOLIO INSURANCES, CPPI AND CPDO, TRUTH OR ILLUSION?[M]// Alternative Investments And Strategies. 2010:259-294.

[9]Schöttle K, Werner R.(2015) ON THE BENEFITS OF ROBUST ASSET ALLOCATION FOR CPPI STRATEGIES[M]// Alternative Investments And Strategies. 2015:295-326.

[10]Dichtl H, Drobetz W.(2010) On the Popularity of the CPPI Strategy: A Behavioral-Finance-Based Explanation and Design Recommendations[J]. Journal of Wealth Management, 2010, 13(2):41-54.