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A dynamic autoregressive expectile for time-invariant portfolio protection strategies

Benjamin Hamidi, Bertrand Maillet and Jean-Luc Prigent ()

Journal of Economic Dynamics and Control, 2014, vol. 46, issue C, 1-29

Abstract: “Constant proportion portfolio insurance” is a popular technique among portfolio insurance strategies: the risky part of a portfolio is reallocated with respect to market conditions, via a fixed parameter (the multiple), guaranteeing a predetermined floor. We propose here to use a conditional time-varying multiple as an alternative. We provide the main properties of the conditional multiples for some mainstream cases, including discrete-time rebalancing and an underlying risk asset driven by the Lévy process, while evaluating conditional and unconditional gap risks. Finally, we evaluate the use of a dynamic autoregressive expectile model for estimating the conditional multiple in such a context.

Keywords: CPPI; Expected shortfall; Expectile; Quantile regression; Dynamic quantile model (search for similar items in EconPapers)
JEL-codes: G11 C6 G24 L10 (search for similar items in EconPapers)
Date: 2014
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Related works:
Working Paper: A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies (2014) Downloads
Working Paper: A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies (2014) Downloads
Working Paper: A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies (2013) Downloads
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