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A simple CPPI strategy in MATLAB 1.0

  Date Added: May 13, 2013  |  Visits: 239

A simple CPPI strategy in MATLAB

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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 CPPI strategy.This package offer 2 versions (with of course the same underlying strategy) : A script M-file, intended to b

Requirements: No special requirements
Platforms: Matlab
Keyword: Basics Brifly Constant Factora Insurance Intended Mfile Offer Package Portfolio Proportion Propose Reminf Script Slides Smoothing Strategythis Underlying Versions
Users rating: 0/10

License: Freeware Size: 4.15 MB
A SIMPLE CPPI STRATEGY IN MATLAB RELATED
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