- author = "Tikesh Ramtohul and Dietmar Maringer",
- title = "Rebalancing triggers for the CPPI using genetic programming",
- booktitle = "Proceedings of the 4th International Conference on Computational and Financial Econometrics CFE'10",
- year = "2010",
- editor = "G. Kapetanios and O. Linton and M. McAleer and E. Ruiz",
- pages = "E515",
- address = "Senate House, University of London, UK",
- month = "10-12 " # dec,
- organisation = "CSDA, LSE, Queen Mary and Westerfield College",
- publisher = "ERCIM",
- keywords = "genetic algorithms, genetic programming",
-
URL = "
http://www.cfe-csda.org/cfe10/LondonBoA.pdf",
- abstract = "The Constant Proportion Portfolio Insurance (CPPI) technique is a dynamic capital-protection strategy that aims at providing investors with a guaranteed minimum level of wealth at a specified time horizon. It gives an investor the ability to limit downside risk while allowing some participation in upside markets. Despite its widespread popularity in the industry, this strategy is not bereft of risk for the issuer. The inability to meet the guarantee at maturity, commonly referred to as gap risk, is a major concern. Gap risk could be limited by increasing the frequency of trading (rebalancing) but this has the adverse effect of generating more transaction costs. One way of achieving a tradeoff between gap risk and rebalancing frequency is through the use of rebalancing triggers, which constitutes the main focus of this paper. We use a genetic programming (GP) approach to obtain bounds of tolerance around the value of the multiplier implied by the portfolio composition. The experiments focus on GBM and GARCH price processes, and two different types of fitness functions, namely Tracking Error and Sortino ratio. We investigate the performance of the GP-based rebalancing strategy for different parameter settings and find that it yields better results than calendar-based rebalancing strategies in most scenarios.",
-
notes = "Abstracts only
WWZ Uni Basel, Switzerland http://www.cfe-csda.org/cfe10/",
