Time Invariant Portfolio Protection
In this article we are going to continue the discussion on portfolio insurance strategies. An exhaustive description of this methodology was already presented in the article Introduction to CPPI. This article will focus on an extension of the original model introduced by Estep and. Kritzman (1988), namely Time Invariant Portfolio Protection. Constant Proportion Portfolio Insurance (CPPI) and Time-Invariant Portfolio Protection (TIPP) are two of the most famous portfolio insurance strategies that play an important role in the realm of investment management and risk mitigation. These strategies are designed to address the fundamental challenge of balancing the pursuit of financial growth with the imperative of capital protection against market downturns. Ideally, the guaranteed protection is achieved at the lowest possible premium for the investors.
