Abstract
This paper studies the performance of discrete-time constant proportional portfolio insurance (CPPI) under proportional trading cost and regime switching. Explicit formulas are developed for a variety of measures for the performance of a CPPI portfolio, and a double-sided Laplace inversion method is developed to compute the Omega measure of a CPPI portfolio. The established formulas can be easily implemented for sensitivity analysis on performance of a CPPI portfolio, and a numerical example with a real data set of S&P 500 index is presented to illustrate the eects the regime switching feature of the nancial market and the existence of transaction cost can exert on the performance of a CPPI portfolio.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
