Constant Proportion Portfolio Insurance Effectiveness under Transaction Costs

被引：0
|
作者：
Mkaouar, Farid [1 ]
Prigent, Jean-Luc [1 ]
机构：
[1] Univ Cergy, THEMA, 33 Bd Port, F-95011 Cergy, France
来源：
INTERNATIONAL JOURNAL OF BUSINESS | 2010年 / 15卷 / 03期
关键词：
Portfolio insurance; CPPI with transaction cost; Tolerance;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
In this paper, we examine main properties of the Constant Proportion Portfolio Insurance (CPPI) strategy, when trading in continuous-time is not allowed. We focus instead on stochastic-time rebalancing. We prove that investor's tolerance determines crucially portfolio performance, in particular when taking transaction costs into account. We illustrate this feature in the geometric Brownian case and we provide some numerical insights in this framework.
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页码：243 / 253
页数：11
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