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Chapter 9 GARCH Models with CPPI Application

Hachmi Ben Ameur

Nonlinear Modeling of Economic and Financial Time-Series

ISBN: 978-0-85724-489-5, eISBN: 978-0-85724-490-1

ISSN: 1571-0386

Publication date: 31 December 2010

Abstract

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.

Keywords

Citation

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)0000020014

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Emerald Group Publishing Limited

Copyright © 2010, Emerald Group Publishing Limited

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