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Reminf freeware
 

Reminf

Added: May 13, 2013 | Visits: 457

A simple CPPI strategy in MATLAB In this set of files, I propose a simple CPPI (Constant Proportion Portfolio insurance) implementation. One can run the backtesting of such a strategy, playing with the parameters of the strategy such as Multiplier (Risk Exposure), or Smoothing factor.A set of slides brifly reminf the basics of a...


Platforms: Matlab

License: Freeware Size: 4.15 MB Download (46): A simple CPPI strategy in MATLAB Download