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摘要翻译：
恒定比例投资组合保险(CPPI)是一种投资策略，旨在保护投资资本的同时，参与风险资产的表现。然而，这种保护并不完美，必须对缺口风险进行量化。CPPI策略是路径依赖的，可能有美国的做法，这使得它们的估值变得复杂。对投资组合状态的简单描述将涉及三个甚至四个变量。本文证明了当标的资产服从一个齐次过程时，系统可以描述为一个单变量的离散马尔可夫过程。这就产生了一个利用转移概率的有效定价方案。我们的框架足够灵活，可以处理交易CPPI的大部分特征，包括利润锁定和其他类型的离散时间重新分配策略。
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英文标题：
《One-Dimensional Pricing of CPPI》
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作者：
Louis Paulot and Xavier Lacroze
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最新提交年份：
2010
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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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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英文摘要：
Constant Proportion Portfolio Insurance (CPPI) is an investment strategy designed to give participation in the performance of a risky asset while protecting the invested capital. This protection is however not perfect and the gap risk must be quantified. CPPI strategies are path-dependent and may have American exercise which makes their valuation complex. A naive description of the state of the portfolio would involve three or even four variables. In this paper we prove that the system can be described as a discrete-time Markov process in one single variable if the underlying asset follows a homogeneous process. This yields an efficient pricing scheme using transition probabilities. Our framework is flexible enough to handle most features of traded CPPIs including profit lock-in and other kinds of strategies with discrete-time reallocation.
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PDF链接：
https://arxiv.org/pdf/0905.2926
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