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Research on Optimization Strategy of CPPI

HU, Baoyuan (2018): Research on Optimization Strategy of CPPI.

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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.

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