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Published March 29, 2021 | Version v1
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Pricing Constant Proportion Portfolio Insurance

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A constant proportion portfolio insurance (CPPI) is a trading strategy where an initial investment is dynamically reallocated between a risky asset and risk-free bond such that a minimum payoff is guaranteed at maturity. The risky asset could be from equities, funds, or commodities.

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https://ia803406.us.archive.org/32/items/eq-cppi-19/EqCppi-archive.pdf

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