英文标题：
《Options on CPPI with guaranteed minimum equity exposure》
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作者：
L. Di Persio, I. Oliva. K. Wallbaum
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最新提交年份：
2019
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英文摘要：
In the present paper we provide a two-step principal protection strategy obtained by combining a modification of the Constant Proportion Portfolio Insurance (CPPI) algorithm and a classical Option Based Portfolio Insurance (OBPI) mechanism. Such a novel approach consists in assuming that the percentage of wealth invested in stocks cannot go under a fixed level, called guaranteed minimum equity exposure, and using such an adjusted CPPI portfolio as the underlying of an option. The first stage ensures to overcome the so called cash-in risk, typically related to a standard CPPI technique, while the second one guarantees the equity market participation. To show the effectiveness of our proposal we provide a detailed computational analysis within the Heston-Vasicek framework, numerically comparing the evaluation of the price of European plain vanilla options when the underlying is either a purely risky asset, a standard CPPI portfolio and a CPPI with guaranteed minimum equity exposure.
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中文摘要：
在本文中，我们提供了一个两步的本金保护策略，该策略是将对固定比例投资组合保险（CPPI）算法的改进与经典的基于期权的投资组合保险（OBPI）机制相结合而得到的。这种新颖的方法包括假设投资于股票的财富百分比不能低于一个固定的水平，即所谓的保证最低股本敞口，并使用这种调整后的CPPI投资组合作为期权的基矗第一阶段确保克服所谓的现金入市风险，通常与标准CPPI技术相关，而第二阶段则确保股票市场参与。为了证明我们提案的有效性，我们在Heston Vasicek框架内提供了详细的计算分析，在标的是纯风险资产、标准CPPI投资组合和保证最低股本敞口的CPPI的情况下，对欧洲普通期权的价格评估进行了数值比较。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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