Talk:Constant proportion portfolio insurance

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[edit] Needs to be finished - Notes

  • Features: Crash size, guarantee level, initial equity exposure, Relev/Delev-raging triggers, fixed/floating floor, contingent/non-contingent/leverage fees
  • Risk: crash risk, vol risk in the way that a too volatile underlying will rebalance too often if the RL/DL triggers are too close, one not vol enough will never rebalance.
  • Evolution: add contingent coupons, lock in profits to increase the guarantee, target coupon redemption
  • Exotic features: bond + call on a CPPI to replicate exactly the payoff of the CPPI, best of several CPPI, etc.
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