Question of CPPI/ TIPP with volatility targeting

General
1

Course Name: Position Sizing in Trading, Section No: 18, Unit No: 12, Unit type: Quiz

Max drawdown 25% → multiplier m=4
Cushion $10,000
Floor $90,000
The risky asset allocation would therefore be $40,000

Volatility target: 25%
Current volatility: 5%
Leverage would therefore be 5x.

If we combine the CPPI/ volatility targeting together, shouldn’t the final risk asset allocation be 5 x $40,000 = $200,000 ?

According to the TIPP with volatility targeting Python Notebook (Section 18, Unit 19):
adj_multiplier = m * leverage_df.iloc[row - 1]

2

Hi,

We are looking into this and will get back to you.

3

Hi,

Thank you for pointing this out. After going through the unit, we have made the required changes.
Once again, thank you for the inputs.