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A simple CPPI strategy in MATLAB

13 Jun 2008 (Updated 16 Jun 2008)

Backtesting of a CPPI strategy

File Information
Description	In this set of files, I propose a simple CPPI (Constant Proportion Portfolio insurance) implementation. One can run the backtesting of such a strategy, playing with the parameters of the strategy such as Multiplier (Risk Exposure), or Smoothing factor. A set of slides brifly reminf the basics of a CPPI strategy. This package offer 2 versions (with of course the same underlying strategy) : A script M-file, intended to be published (CPPI.m) and a version with a user interface, but less visualization. This UI version could typically be compiled using MathWorks deployment tools.
MATLAB release	MATLAB 7.5 (R2007b)
Zip File Content
Other Files	CPPI/1998_BackTest.xls, CPPI/CPPI.m, CPPI/CPPI_PayOff_From_Returns_2.m, CPPI/CPPI_Slides.ppt, CPPI/GetCPPIPath.m, CPPI/MyDateTick.m, CPPI/SimpleXlsReader.m, CPPI/UI_CPPI.fig, CPPI/UI_CPPI.m, CPPI/xticklabel_rotate.m, readme.txt

Tags for This File
Everyone's Tags	analysis, cppi finance hedging, finance, modeling
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Comments and Ratings (1)
17 Jun 2008	Dimitri Shvorob	I think both the code and the presentation could be improved. I don't insist on classes, but one could at least use 'dataset('xlsfile',..' to read the spreadsheet. How about something more interesting, Vincent?

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Tag Activity for this File
Tag	Applied By	Date/Time
finance	Vincent Leclercq	22 Oct 2008 10:05:55
modeling	Vincent Leclercq	22 Oct 2008 10:05:55
analysis	Vincent Leclercq	22 Oct 2008 10:05:55
cppi finance hedging	Vincent Leclercq	22 Oct 2008 10:05:55

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