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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
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