Constant proportion performance participation
提出恒定比例绩效参与策略，作为恒定比例投资组合保险策略的推广，允许储备资产有风险，以缓解低利率或负利率时期的问题，并比较了两种策略的条件随机占优性。
In this paper, we introduce and analyze the constant proportion performance participation (CPPP) strategy as a generalization of the constant proportion portfolio insurance (CPPI) strategy. In the CPPP strategy, the reserve asset is risky and not risk-free. This allows the proposed strategy to alleviate the issues with standard portfolio insurance strategies during periods of low or even negative interest rates. However, the CPPP is not an insurance strategy, which guarantees a deterministic floor, as the risky reserve asset introduces systematic risk in the analysis. Given the different characteristics, we compare the conditional stochastic dominance of the CPPP over the CPPI strategy and show how CPPP strategies can be designed to stochastically dominate CPPI conditional on the returns of the reserve asset. Further, the performance of the CPPP and CPPI strategies is illustrated and compared using historical returns of the US stock and bond markets from January 2006 to November 2025.