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- UID
- 222283
- 帖子
- 303
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- 注册时间
- 2011-7-2
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- 2014-6-28
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Can anyone explain how constant proportion portfolio insurance works? On page 99 of Volume 6, it says that under CPPI, the target investment in stocks = m * (Portfolio Value - Floor Value), where m >1.
How can "m" be greater than 1 without eating into the floor cushion or using leverage (which is not mentioned anywhere in the text)? What am I missing? |
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发表于 2011-7-11 19:19
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