Constant Proportion Portfolio Insurance under Tolerance and Transaction Costs
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- Alex Evans, 2020. "Liquidity Provider Returns in Geometric Mean Markets," Papers 2006.08806, arXiv.org, revised Jul 2020.
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More about this item
Keywords
Portfolio Insurance; CPPI; Lévy processes; risk tolerance; transaction costs.;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-IAS-2014-05-24 (Insurance Economics)
- NEP-RMG-2014-05-24 (Risk Management)
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