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Balder, S., Brand, M. and Mahayni, A. (2009) Effectiveness of CPPI Strategies under Discrete-Time Trading. Journal of Economic Dynamics and Control, 33, 204-220.
https://doi.org/10.1016/j.jedc.2008.04.013

has been cited by the following article:

• TITLE: The Performance of Option-Based Portfolio Insurance on a Dividend Payment Stock

  AUTHORS: Paulina Nangolo, Elias Rabson Offen, Othusitse Basmanebothe

  KEYWORDS: Portfolio Insurance, Option-Based Portfolio Insurance, Black-Scholes Model, European Option

  JOURNAL NAME: Journal of Mathematical Finance, Vol.13 No.2, May 25, 2023

  ABSTRACT: Portfolio insurance is a type of hedging which is a dynamic investment strategy that is designed to guarantee the portfolio value at maturity or up to maturity to be greater or equal to a given lower bond (floor). We analyse the efficiency and the performance of option-based portfolio insurance, by employing two strategies to determine the numbers of stocks, put options, bond value and call options in such a way that the floor value is always protected. Furthermore, we compare the insured versus the non-insured portfolio value.