Description: Constant Proportion Portfolio Insurance (CPPI) performance is assessed on realistic assumptions and dynamic strategies to mitigate the so-called ”gap risk”.

Description: The article talks about market consistent pricing, how risk neutral pricing and real world pricing are not fundamentally different if used appropriately. And using that knowledge, a rather new concept called the risk-adjusted real world pricing, which is a method where a mixture of risk neutral and real world pricing to achieve a holistic view on pricing, will be introduced.