Talk:Constant proportion portfolio insurance

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Needs to be finished - Notes

Features: Crash size, guarantee level, initial equity exposure, Relev/Delev-raging triggers, fixed/floating floor, contingent/non-contingent/leverage fees
Risk: crash risk, vol risk in the way that a too volatile underlying will rebalance too often if the RL/DL triggers are too close, one not vol enough will never rebalance.
Evolution: add contingent coupons, lock in profits to increase the guarantee, target coupon redemption
Exotic features: bond + call on a CPPI to replicate exactly the payoff of the CPPI, best of several CPPI, etc.
What does it mean that the writer buys a bond and uses the proceeds to get the needed exposure? If I buy a bond, someone else has the proceeds of selling me the bond.

120:60:620 should be 120:60:820

Dear All, I'm unfamiliar with annotations in Wikipedia, so please accept my apologies in case I do this incorrectly. For the section/stanza Practical CPPI Where rebalancing would cause it to be 120:60:620 I believe this is a typo and should say 120:60:820 Conceptually easy to check... Start with 1M = 1000K 120K:60K:(1000K-(120K+60K))= 120K:60K:(1000K-180K)= 120K:60K:820K

I hope I was able to get my view across. Very many thanks in advance for any comments. jbrouwer.semba2009@london.edu Jbrouwer.semba2009 (talk) 02:18, 15 June 2010 (UTC) —Preceding unsigned comment added by Jbrouwer.semba2009 (talk • contribs) 02:15, 15 June 2010 (UTC)[reply]

Too Much Unexplained Jargon

This article is completely illegible to an educated layman (without specific training in finance). The opening sentence reads like a parody of gobbledygook. I realize the use of some jargon is necessary, but this article as it stands is useless to anyone who doesn't already understand the subject matter. --Jonadab, 2007 Oct 26.

Please review: Bond in CPPI

The article states, in the bond floor section, that the CPPI structure actually contains a bond. This is not correct: The CPPI allocates to a risky asset (underlying) and a risk-free asset, which is (short-term) cash, usually of the same maturity as the rebalancing period (to ensure cash is available, should the CPPI be able to increase risky asset allocation at the next rebalancing). The bond floor itself is of calculatory nature only. The absence of a bond investment in CPPI is indeed a key feature of the structure. Unlike for ZB+C, CPPI market value is (almost) not interest rate sensitive. Actually, CPPI react well to interest rate increases, as the buffer/distance increases with a falling bond floor, and therefore, the structure's risk capacity augments (=> potential for additional future exposure in risky asset). Thanks in advance for considering these aspects in future versions. —Preceding unsigned comment added by 84.73.238.143 (talk) 22:36, 8 November 2007 (UTC)[reply]

IFRS Accounting for CPPI Notes (non synthetic i.e. cash instruments)

Anyone has some ideas, relevant articles...? —Preceding unsigned comment added by 82.173.138.169 (talk) 10:51, 13 January 2008 (UTC)[reply]

Needs for an introduction that explains the fundamentals behind the CPPI ideas

This is my first Wikipedia post...I just thought I would do something somewhat useful concerning a subject I am not too unfamiliar with...Hence I included the references that should help in this endeavor. Sharpe's article should be a good guide, as it goes beyond the CPPI usual jargon and the capital market folklore. Good luck ! Tristan.Froidure (talk) 09:28, 25 September 2009 (UTC)[reply]