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Analysis of the CPPI strategy for stocks quoted on the Warsaw Stock exchange

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Węgrzyn T.
Nauki o Finansach
|
2012
|
issue 4(13)
52-67
EN
The constant proportion portfolio insurance (CPPI) strategy is one of the strategies whose main aim is to protect the minimum value of the investor’s portfolio. The implementation of the strategy means that each change in stock prices causes modifications in the portfolio structure. In general, stocks are bought as their prices rise and stocks are sold as their prices fall. As a result, the portfolio risk fluctuates with the changes in the stock prices. The author analyses the efficiency of the CPPI strategy in the Polish capital market over a long period of time. The CPPI strategy is implemented to the chosen stocks quoted on the Warsaw Stock Exchange.
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