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A simple CPPI strategy in MATLAB

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A simple CPPI strategy in MATLAB

by Vincent Leclercq

 

13 Jun 2008 (Updated 16 Jun 2008)

Backtesting of a CPPI strategy

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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)
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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
analysis christos akkelides 05 Feb 2010 10:58:13
modeling christos akkelides 05 Feb 2010 10:58:16
analysis Shailendra Sharma Sharma 27 Mar 2010 01:20:31

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