CPPI on CDO Equity Tranches
碩士 === 國立中央大學 === 財務金融研究所 === 95 === This paper examines whether the Constant Proportion Portfolio Insurance (CPPI) could achieve good performance on Synthetic Collateralized Debt Obligation (CDO) Equity Tranches. The standard two indexes, iTraxx Europe 5Y and iTraxx Hivol 5Y, are used as the underl...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2007
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| Online Access: | http://ndltd.ncl.edu.tw/handle/64895057954065672223 |