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

Benjamin Hamidi (), Emmanuel Jurczenko () and Bertrand Maillet
Additional contact information
Benjamin Hamidi: Centre d'Economie de la Sorbonne et A.A.Advisors-QCG (ABN AMRO)Variances, http://centredeconomiesorbonne.univ-paris1.fr
Emmanuel Jurczenko: ESCP-EAP

Documents de travail du Centre d'Economie de la Sorbonne from Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne

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: Portfolio insurance; CPPI; quantile regression (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-ecm, nep-ias and nep-rmg
Date: 2009-05
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ftp://mse.univ-paris1.fr/pub/mse/CES2009/09033.pdf (application/pdf)

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Working Paper: D'un multiple conditionnel en assurance de portefeuille: CAViaR pour les gestionnaires ? (2009) Downloads
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Persistent link: http://EconPapers.repec.org/RePEc:mse:cesdoc:09033

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