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Dokumenttyp:
Diplomarbeit 
Autor(en):
Comparative studies of discrete-time limit order book models 
Titel:
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...    »
 
Betreuer:
Julia Kraus (risklab GmbH) 
Gutachter:
Prof. Dr. Rudi Zagst 
Jahr:
2010 
Sprache:
en 
Fakultät:
Fakultät für Mathematik