摘要翻译：
研究了常比例投资组合保险(CPPI)及其动态推广，即动态比例投资组合保险(DPPI)。结果表明，这些投资策略是在Ollmer的路径信息演算的范围内工作的，该演算没有任何概率假设。这一方面表明，CPPI和DPPI完全独立于资产价格动态的任何特定模型的选择。它们的意义甚至超出了半鞅样本路径的范畴，并且可以成功地定义为允许套利的模型，包括一些基于分数布朗运动的模型。另一方面，这一结果可以被看作是金融中面对模型不确定性时的一般稳健性问题的一个案例研究。
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英文标题：
《Model-free CPPI》
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作者：
Alexander Schied
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最新提交年份：
2014
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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英文摘要：
  We consider Constant Proportion Portfolio Insurance (CPPI) and its dynamic extension, which may be called Dynamic Proportion Portfolio Insurance (DPPI). It is shown that these investment strategies work within the setting of F\"ollmer's pathwise It\^o calculus, which makes no probabilistic assumptions whatsoever. This shows, on the one hand, that CPPI and DPPI are completely independent of any choice of a particular model for the dynamics of asset prices. They even make sense beyond the class of semimartingale sample paths and can be successfully defined for models admitting arbitrage, including some models based on fractional Brownian motion. On the other hand, the result can be seen as a case study for the general issue of robustness in the face of model uncertainty in finance.
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PDF链接：
https://arxiv.org/pdf/1305.5915