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Project: CPPI Portfolios Simulations Under Different Risky Assets By: Victor Felipe Gontijo - Quantitative research intern - BNP Paribas - Paris Proposed by: Jean-Philippe Lemor - Head of systematic strategies and hybrids quantitative research team - BNP Paribas - Paris June 2020 The project is designed to be read and executed in the Jupyter Notebook file: "CPPI.ipynb". No other file needs to be directly executed, however, "CPPI.ipynb", "CPPI.py", "Heston.py", "CPPI_execute.py" must be all placed in a same folder All functions used in the project are implemented in Python programming language, in the file "CPPI.py". To simulate risky assets returns under the Heston Model, the file "Heston.py" is also needed. All simulations developed in the notebook can also be executed through the file "CPPI_execute.py", one needs only to execute it with a Python interpreter. For any user who doesn't have Jupyter Notebook installed, we link a video explaining its installation for a Linux OS: https://www.youtube.com/watch?v=Yg9AkozItTU Windows users can have acces to this tool via Anaconda.
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