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Document type:
Diplomarbeit
Author(s):
Comparative studies of discrete-time limit order book models
Title:
CPPI strategies in a Markov switching framework
Abstract:
In the course of the recent financial crisis portfolio insurance strategies promised downside protection while still allowing participation in rising markets. An important representative of this class is the Constant Proportion Portfolio Insurance (CPPI) strategy, which is specified by the level of insurance and the constant multiplier, determining the multiple of the cushion to be dynamically invested in the risky asset. During the last two years, however, stock markets have been so volatile th...     »
Advisor:
Julia Kraus (risklab GmbH)
Referee:
Prof. Dr. Rudi Zagst
Year:
2010
Language:
en
Faculty:
Fakultät für Mathematik
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