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The constant proportion portfolio insurance strategy is based on allocation among two financial assets: a riskless asset, denoted by B, which allows a cash reserve (riskless interest rate denoted by r); a risky asset, denoted by S, which is usually a stock index.
Farouze's charge was to provide a 100% capital guarantee on the funds using constant proportion portfolio insurance (CPPI) techniques, which mimic options hedging by constantly re-balancing the underlying assets.
CHAPTER 5: Constant Proportion Portfolio Insurance.