A simple CPPI strategy in MATLAB 1.0

Date Added: May 13, 2013 | Visits: 455

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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

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