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A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies

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

No 2014-131, Working Papers from Department of Research, Ipag Business School

Abstract: Among the most popular techniques for portfolio insurance strategies that are used nowadays, the so-called \Constant Proportion Portfolio In- surance" (CPPI) allocation simply consists in reallocating the risky part of a portfolio according to the market

Keywords: CPPI; Expectile; VaR; CAViaR; Quantile Regression; Dy- namic Quantile Model; Expected Shortfall; Extreme Value. (search for similar items in EconPapers)
JEL-codes: G11 C13 C14 C22 C32 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-rmg
Date: 2014-01-01
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Related works:
Journal Article: 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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