Designing dynamic portfolio insurance strategies under market conditions switching
between two or more regimes is a challenging task in financial economics. Recently, a …

We use S&P 500 index return data for the time period 1985–2013 to evaluate the
performance of portfolio insurance strategies. We shed light on the question if the …

We introduce a new exotic option to be used within structured products to address a key
disadvantage of standard time‐invariant portfolio protection: the well‐known cash‐lock risk …

In the present paper we study a new exotic option offering participation in a dynamic asset
allocation strategy, which is an extension of the well‐known Constant Proportion Portfolio …

Constant Proportion Portfolio Insurance (CPPI) strategies are popular as they allow to gear
up the upside potential of a stock index while limiting its downside risk. From the issuer's …

The constant proportion portfolio insurance (CPPI) strategy is one of the most popular asset
allocation strategies employed by guaranteed-return financial products investors …

Abstract Constant Proportion Portfolio Insurance (CPPI) is a significant and highly popular
investment strategy within the structured product market. This has led to recent work which …

This thesis constitutes the result of my PhD studies at the Department of Economics and
Business Economics at Aarhus University and was written during the period from February …

The Constant Proportion Portfolio Insurance (CPPI) technique is a dynamic capital-
protection strategy that aims at providing investors with a guaranteed minimum level of …

Focusing on the parameter “Multiple” of CPPI strategy, this study proposes a dynamic setting
model of multiple for gap risk management purpose. First, CPPI gap risk is measured as the …