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- Constant_proportion_portfolio_insurance abstract "Constant proportion portfolio insurance (CPPI) is a trading strategy that allows an investor to maintain an exposure to the upside potential of a risky asset while provide a capital guarantee against downside risk. The outcome of the CPPI strategy is somewhat similar to that of buying a call option, but does not use option contracts. Thus CPPI is sometimes referred to as a convex strategy, as opposed to a "concave strategy" like constant mix.CPPI products on a variety of risky assets have been sold by financial institutions, including equity indices and credit default swap indices. Constant proportion portfolio insurance (CPPI) was first studied by Perold (1986) for fixed-income instruments and by Black and Jones (1987), Black and Rouhani (1989), and Black and Perold for equity instruments.In order to guarantee the capital invested, the seller of portfolio insurance maintains a position in a treasury bonds or liquid monetary instruments, together with a leveraged position in a "risky asset", usually a market index. While in the case of a bond+call, the client would only get the remaining proceeds (or initial cushion) invested in an option, bought once and for all, the CPPI provides leverage through a multiplier. This multiplier is set to 100 divided by the crash size (as a percentage) that is being insured against.For example, say an investor has a $100 portfolio, a floor of $90 (price of the bond to guarantee his $100 at maturity) and a multiplier of 5 (ensuring protection against a drop of at most 20% before rebalancing the portfolio). Then on day one, the writer will allocate (5 * ($100 – $90)) = $50 to the risky asset and the remaining $50 to the riskless asset (the bond). The exposure will be revised as the portfolio value changes, i.e., when the risky asset performs and with leverage multiplies by 5 the performance (or vice versa). Same with the bond. These rules are predefined and agreed once and for all during the life of the product.".
- Constant_proportion_portfolio_insurance wikiPageExternalLink CPPI.doc.
- Constant_proportion_portfolio_insurance wikiPageExternalLink CPPI.pdf.
- Constant_proportion_portfolio_insurance wikiPageExternalLink index.php?option=com_content&view=article&id=1&Itemid=7.
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- Constant_proportion_portfolio_insurance wikiPageRevisionID "651873964".
- Constant_proportion_portfolio_insurance wikiPageWikiLink Bond_plus_option.
- Constant_proportion_portfolio_insurance wikiPageWikiLink Call_option.
- Constant_proportion_portfolio_insurance wikiPageWikiLink Capital_guarantee.
- Constant_proportion_portfolio_insurance wikiPageWikiLink Category:Derivatives_(finance).
- Constant_proportion_portfolio_insurance wikiPageWikiLink Category:Financial_economics.
- Constant_proportion_portfolio_insurance wikiPageWikiLink Category:Financial_terminology.
- Constant_proportion_portfolio_insurance wikiPageWikiLink Category:Investment.
- Constant_proportion_portfolio_insurance wikiPageWikiLink Constant_mix_(investment).
- Constant_proportion_portfolio_insurance wikiPageWikiLink Credit_default_swap.
- Constant_proportion_portfolio_insurance wikiPageWikiLink Portfolio_insurance.
- Constant_proportion_portfolio_insurance wikiPageWikiLink Rebalancing_investments.
- Constant_proportion_portfolio_insurance wikiPageWikiLink Stock_market_index.
- Constant_proportion_portfolio_insurance wikiPageWikiLink Trading_strategy.
- Constant_proportion_portfolio_insurance wikiPageWikiLink Transaction_cost.
- Constant_proportion_portfolio_insurance wikiPageWikiLink Transaction_costs.
- Constant_proportion_portfolio_insurance wikiPageWikiLink Treasury_bonds.
- Constant_proportion_portfolio_insurance wikiPageWikiLink United_States_Treasury_security.
- Constant_proportion_portfolio_insurance wikiPageWikiLinkText "CPPI".
- Constant_proportion_portfolio_insurance wikiPageWikiLinkText "Constant proportion portfolio insurance".
- Constant_proportion_portfolio_insurance wikiPageWikiLinkText "constant proportion portfolio insurance".
- Constant_proportion_portfolio_insurance wikiPageWikiLinkText "portfolio insurance".
- Constant_proportion_portfolio_insurance hasPhotoCollection Constant_proportion_portfolio_insurance.
- Constant_proportion_portfolio_insurance wikiPageUsesTemplate Template:Derivatives_market.
- Constant_proportion_portfolio_insurance wikiPageUsesTemplate Template:Reflist.
- Constant_proportion_portfolio_insurance subject Category:Derivatives_(finance).
- Constant_proportion_portfolio_insurance subject Category:Financial_economics.
- Constant_proportion_portfolio_insurance subject Category:Financial_terminology.
- Constant_proportion_portfolio_insurance subject Category:Investment.
- Constant_proportion_portfolio_insurance hypernym Strategy.
- Constant_proportion_portfolio_insurance type VideoGame.
- Constant_proportion_portfolio_insurance type Market.
- Constant_proportion_portfolio_insurance comment "Constant proportion portfolio insurance (CPPI) is a trading strategy that allows an investor to maintain an exposure to the upside potential of a risky asset while provide a capital guarantee against downside risk. The outcome of the CPPI strategy is somewhat similar to that of buying a call option, but does not use option contracts.".
- Constant_proportion_portfolio_insurance label "Constant proportion portfolio insurance".
- Constant_proportion_portfolio_insurance sameAs Constant_Proportion_Portfolio_Insurance.
- Constant_proportion_portfolio_insurance sameAs Constant_Proportion_Portfolio_Insurance.
- Constant_proportion_portfolio_insurance sameAs Constant_Proportion_Portfolio_Insurance.
- Constant_proportion_portfolio_insurance sameAs m.0ckjsq.
- Constant_proportion_portfolio_insurance sameAs Q937782.
- Constant_proportion_portfolio_insurance sameAs Q937782.
- Constant_proportion_portfolio_insurance wasDerivedFrom Constant_proportion_portfolio_insurance?oldid=651873964.
- Constant_proportion_portfolio_insurance isPrimaryTopicOf Constant_proportion_portfolio_insurance.