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Portfolio Insurance : The extreme Value of the CCPI Method

This paper applies the extreme value theory to the Constant Proportion Portfolio Insurance (CPPI) . In particular, the choice of the standard multiple is detailed according to the statistical estimation of the behaviour of extreme variations in rates of assets returns. Moreover, we introduce the distributions of interarrival times of these extreme movements and show their impact on the portfolio insurance. We illustrate these results on S&P 500 data.