Download or read book Portfolio Insurance Strategies written by Jean-Luc Prigent and published by . This book was released on 2003 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt: We compare the performances of the two standard portfolio insurance methods: the Option Based Portfolio Insurance (OBPI) and the Constant Proportion Portfolio Insurance (CPPI), when the volatility of the stock index is stochastic. In this framework, we provide a quite general formula for the CPPI portfolio value. We use criteria such as comparison of payoffs functions at maturity and various quantiles. We emphasize in particular the role of the insured percentage of the initial investment.