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A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies

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

No 164, LEO Working Papers / DR LEO from Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans

Keywords: CPPI; VaR; Expected Shortfall; Expective; Quantile Regression; Dynamic Quantile Model (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-rmg
Date: 2013
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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 (2014) Downloads
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