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Optimizing CPPI Investment Strategy for Life Companies
Optimizing CPPI Investment Strategy for Life Companies Derives appropriate hedge ratios for CPPI strategies, ... Monthly AUGUST 2018 RISKS & REWARDS | 17 However, using a constant volatility and lognormal ...- Authors: Aymeric Kalife, Saad Mouti
- Date: Aug 2018
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context; Technical Skills & Analytical Problem Solving>Incorporate risk management
- Publication Name: Risks & Rewards
- Topics: Annuities>Variable annuities; Finance & Investments>Portfolio management - Finance & Investments; Finance & Investments>Risk measurement - Finance & Investments; Finance & Investments>Value at risk - Finance & Investments