Theory of constant proportion portfolio insurance

Article Abstract:

A study was made to evaluate the strategy of constant proportion portfolio insurance (CPPI). The strategy calls for investment of a constant multiple of the difference between wealth and a specified floor given a borrowing limit. Transaction costs and borrowing constraints which affect such portfolio insurance strategies are also examined. The CPPI is similar to American call option investments without transaction costs.

Portfolio insurance

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Order flow and bid-ask spread: an empirical probability model of screen-based trading

Article Abstract:

The probabilistic framework of predicting stationary distributions of market statistics through the identification of order and acceptance flows is found to be a good measure of screen-based trading activity. The study provides a model of screen-based trading and a description of the conditional structure of quotations aside from suggesting an econometric methodology for estimation and interference.

Foreign Currency Management, Analysis, Management, Securities, Foreign exchange, Online transaction processing, Foreign exchange market

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Option pricing and replication with transaction costs and dividends

Article Abstract:

Optimal perfect hedging portfolios are derived when transaction costs are presented within the binomial model of stock returns.

Dividends

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