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Investment Math edited untitled.md
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Before delving into the topic of discrete rebalancing, I describe the trading policy induced by cppi products. I stay within the context of the two assets model, i.e. cash (with zero interest rate) plus a risky asset.
Consider a portfolio which trades so as to keep the proportion of risky asset at \(0 \lt \pi \lt 1\).
A cppi overlay consists in protecting a certain level \(\underline{p}\)