Originality/value of paper – We show in this chapter that it is possible to choose variable multiples for the CPPI method if quantile hedging is used and in the case of dependent log returns. Upper bounds can be calculated for each level of probability and according to state variables. This new multiple can be determined according to the distributions of the risky asset log return and volatility.
Ben Ameur, H. (2010), "Chapter 9 GARCH Models with CPPI Application", Jawadi, F. and Barnett, W. (Ed.) Nonlinear Modeling of Economic and Financial Time-Series (International Symposia in Economic Theory and Econometrics, Vol. 20), Emerald Group Publishing Limited, Bingley, pp. 187-205. https://doi.org/10.1108/S1571-0386(2010)0000020014Download as .RIS
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