Reminf freeware
Reminf
Added: May 13, 2013 | Visits: 457
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 |