A simple CPPI strategy in MATLAB

Version 1.0.0.1 (4.15 MB) by Vincent Leclercq
Backtesting of a CPPI strategy
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3.4K Downloads
Updated 1 Sep 2016

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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.

Cite As

Vincent Leclercq (2024). A simple CPPI strategy in MATLAB (https://www.mathworks.com/matlabcentral/fileexchange/20282-a-simple-cppi-strategy-in-matlab), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2007b
Compatible with any release
Platform Compatibility
Windows macOS Linux

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CPPI/

Version Published Release Notes
1.0.0.1

Updated license
1.0.0.0