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D'un multiple conditionnel en assurance de portefeuille: CAViaR pour les gestionnaires ?

Benjamin Hamidi (), Emmanuel Jurczenko () and Bertrand Maillet
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Benjamin Hamidi: A.A.Advisors-QCG - ABN AMRO, CES - Centre d'économie de la Sorbonne - UP1 - Université Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique
Emmanuel Jurczenko: ESCP-EAP - ESCP-EAP

Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL

Abstract: In a Constant Proportion Portfolio Insurance (CPPI) framework, a constant risk exposure is defined by the multiple of the strategy. This article proposes an alternative conditional multiple estimation model, which is based on an autoregressive quantile regression dynamic approach. We estimate several specifications of the conditional multiple model on the American equity market, and we compare relative performances of cushioned portfolios using conditional and unconditional multiples.

Keywords: régression sur quantile; Assurance de portefeuille; CPPI; valeurs extrêmes; régression sur quantile.; Portofiolio insurance; quantile regression. (search for similar items in EconPapers)
Date: 2009-05
Note: View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00389773
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Published in Documents de travail du Centre d'Economie de la Sorbonne 2009.33 - ISSN : 1955-611X. 2009

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Working Paper: D'un multiple conditionnel en assurance de portefeuille: CAViaR pour les gestionnaires? (2009) Downloads
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