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Constant proportion portfolio insurance (CPPI) is a trading strategy that allows an investor to maintain an exposure to the upside potential of a risky asset while provide a capital guarantee against downside risk. The outcome of the CPPI strategy is somewhat similar to that of buying a call option, but does not use option contracts. Thus CPPI is sometimes referred to as a convex strategy, as opposed to a "concave strategy" like constant mix. CPPI products on a variety of risky assets have been sold by financial institutions, including equity indices and credit default swap indices. Constant proportion portfolio insurance (CPPI) was first studied by Perold (1986)〔André F. Perold (August 1986). "Constant Proportion Portfolio Insurance", Harvard Business School.〕 for fixed-income instruments and by Black and Jones (1987), Black and Rouhani (1989),〔Fischer Black and Ramine Rouhani (1989). "Constant Proportion Portfolio Insurance and the Synthetic Put Option: A Comparison", ''Institutional Investor'' focus on Investment Management.〕 and Black and Perold for equity instruments.〔Fischer Black and André F. Perold (1992), "Theory of Constant Proportion Portfolio Insurance", ''Journal of Economic Dynamics and Control'', 16(3-4): 403-426.〕 In order to guarantee the capital invested, the seller of portfolio insurance maintains a position in a treasury bonds or liquid monetary instruments, together with a leveraged position in a "risky asset", usually a market index. While in the case of a bond+call, the client would only get the remaining proceeds (or initial cushion) invested in an option, bought once and for all, the CPPI provides leverage through a multiplier. This multiplier is set to 100 divided by the crash size (as a percentage) that is being insured against. For example, say an investor has a $100 portfolio, a floor of $90 (price of the bond to guarantee his $100 at maturity) and a multiplier of 5 (ensuring protection against a drop of at most 20% before rebalancing the portfolio). Then on day one, the writer will allocate (5 * ($100 – $90)) = $50 to the risky asset and the remaining $50 to the riskless asset (the bond). The exposure will be revised as the portfolio value changes, i.e., when the risky asset performs and with leverage multiplies by 5 the performance (or vice versa). Same with the bond. These rules are predefined and agreed once and for all during the life of the product. == Some definitions == * Bond floor The bond floor is the value below which the value of the CPPI portfolio should never fall in order to be able to ensure the payment of all future due cash flows (including notional guarantee at maturity). * Multiplier Unlike a regular bond + call strategy which only allocates the remaining dollar amount on top of the bond value (say the bond to pay 100 is worth 80, the remaining cash value is 20), the CPPI leverages the cash amount. The multiplier is usually 4 or 5, meaning you do not invest 80 in the bond and 20 in the equity, rather m *(100-bond) in the equity and the remainder in the zero coupon bond. * Gap A measure of the proportion of the equity part compared to the cushion, or (CPPI-bond floor)/equity. Theoretically, this should equal 1/multiplier and the investor uses periodic rebalancing of the portfolio to attempt to maintain this. 抄文引用元・出典: フリー百科事典『 ウィキペディア（Wikipedia）』 ■ウィキペディアで「Constant proportion portfolio insurance」の詳細全文を読む スポンサード リンク
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