EconPapers    
Economics at your fingertips  
 

Constant Proportion Portfolio Insurance under Tolerance and Transaction Costs

Farid Mkaouar and Jean-Luc Prigent

No 2014-303, Working Papers from Department of Research, Ipag Business School

Abstract: Portfolio insurance allows investors to recover at maturity a given percentage of their initial investment, whatever financial market evolu- tions. This portfolio insurance strategy limits downside risk in falling markets, while it allows pote

Keywords: Portfolio Insurance; CPPI; Lévy processes; risk tolerance; transaction costs. (search for similar items in EconPapers)
Pages: 30 pages
Date: 2014-01-01
New Economics Papers: this item is included in nep-ias and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
https://faculty-research.ipag.edu/wp-content/uploa ... IPAG_WP_2014_303.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ipg:wpaper:2014-303

Access Statistics for this paper

More papers in Working Papers from Department of Research, Ipag Business School Contact information at EDIRC.
Bibliographic data for series maintained by Ingmar Schumacher ().

 
Page updated 2025-03-19
Handle: RePEc:ipg:wpaper:2014-303