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by coolee80
August 7th, 2008, 7:28 am
Forum: The Quantitative Finance FAQs Project
Topic: What is CPPI?
Replies: 13
Views: 156719

What is CPPI?

<t>QuoteOriginally posted by: solitonCPPI = Constant Proportion Portfolio insurance.Very simplified: Suppose you have an investment horizon of 5 years and 100 $ at the moment. Buy a ZCB (Zero Coupon Bond) today for say 70$. With the other 30$ you can now do more risky things. Worst case: After 5 yea...