Model for Dynamic Multiple of CPPI Strategy

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 probability that the value loss of active asset exceeds its allowed maximum drop determined by a given multiple sett...

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Bibliographic Details
Main Authors: Guangyuan Xing, Yong Xue, Zongxian Feng, Xiaokang Wu
Format: Article
Published: Hindawi Limited 2014-01-01
Series:Discrete Dynamics in Nature and Society
Online Access: