Investigating portfolio insurance strategies including applications of heuristic optimisation and evolutionary artificial neural networks
This work examines the Constant Proportion Portfolio Insurance (CPPI) investment strategy under the assumption of a cumulative prospect theory (CPT) investor. It is found that such an investor who alters their reference point, dependent on the underlying risky asset, prefers strategies that extend t...
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University of Essex
2012
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.571480 |