Essays about: "CPPI"

Found 4 essays containing the word CPPI.

  1. 1. Investigation of portfolio strategies by means of simulation

    University essay from Göteborgs universitet/Institutionen för matematiska vetenskaper

    Author : Alexander Schälin; [2022-07-01]
    Keywords : Constant proportion portfolio insurance; Option based portfolio insurance; Irrational fraction brownian motion; Constant elasticity of variance; Ho-Lee; Black- Derman-Toy;

    Abstract : Portfolio insurance strategies are constructed to limit an investors loss but still reward them when the market goes up. In this thesis we compare two portfolio insurance strategies, Constant proportion portfolio insurance (CPPI) and Option based portfolio insurance. READ MORE

  3. 2. “If you want to go fast, go alone. If you want to go far, go together." A case study analyzing the role of collaboration in development projects in Malawi.

    University essay from Lunds universitet/LUMID International Master programme in applied International Development and Management

    Author : Anna Lundström; [2015]
    Keywords : Development projects; Project planning and implementation; Collaboration; Collaborative Project Planning and Implementation CPPI ; Complexity theory; Adaptive systems; Critical Theory; Communicative Rationality; Social Sciences;

    Abstract : This study questions the linear and top-down planning and implementation methods of mainstream development projects, as they do not seem to: achieve its expected outcomes; respond to the complex development context; or allow development beneficiaries to be a part of deciding their own development, despite promotions of inclusive approaches. The purpose was to explore if collaboration could serve as a better solution by introducing the concept of “Collaborative Project Planning and Implementation” (CPPI). READ MORE

  4. 3. Performance and Sensitivity Analysis of the VaR-Based Portfolio Insurance Strategy

    University essay from Göteborgs universitet/Graduate School

    Author : Rosa Jonasardottir; Andreas Lavstrand; [2011-07-21]
    Keywords : VaR; Value at Risk; VBPI; CPPI; Portfolio Insurance; Omega; Black-Scholes; Geometric Brownian Motion; Gap risk; Portfolio Management; Expected Net Gain;

    Abstract : This paper evaluates the empirical performance of the VaR Based Portfolio Insurance (VBPI) relative to the Constant Proportion Portfolio Insurance (CPPI) based on Swedish data for 1989-2011. The evaluation emphasizes on the two strategies’ ability to combine downside protection with upside potential, with the Omega measure as the main performance evaluator. READ MORE

  5. 4. CPPI Structures on Funds Derivatives

    University essay from KTH/Matematisk statistik

    Author : Arnaud Gallais; [2011]
    Keywords : ;

    Abstract : Abstract With the ever-increasing complexity of financial markets and financial products, many investors now choose to benefit from a manager’s expertise by investing in a fund. This fueled a rapid growth of the fund industry over the past decades, and the recent emergence of complex derivatives products written on underlying funds. READ MORE