TY  - JOUR
T1  - Piecewise Linear Goal-Directed CPPI Strategy
AU - , Jiah-Shing Chen AU - , Benjamin Penyang Liao 
JO  - Asian Journal of Information Technology
VL  - 5
IS  - 7
SP  - 720
EP  - 724
PY  - 2006
DA  - 2001/08/19
SN  - 1682-3915
DO  - ajit.2006.720.724
UR  - https://makhillpublications.co/view-article.php?doi=ajit.2006.720.724
KW  - Portfolio insurance
KW  -goal-directed strategy
KW  -piecewise linear GDCPPI strategy
AB  - Traditional Portfolio Insurance (PI) strategy, such as CPPI, only considers the floor constraint but not the goal aspect. This paper proposes a Goal-Directed (GD) strategy to express an investor`s goal-directed trading behavior and combines this floor-less GD strategy with the goal-less CPPI strategy to form a piecewise linear goal-directed CPPI (GDCPPI) strategy. This paper applies Genetic Algorithm (GA) technique to find better piecewise linear GDCPPI strategy parameters than those under the Brownian motion assumption. The statistical tests show that the GA strategy can outperform the Brownian strategy.
ER  -