A Tail Measure With Variable Risk Tolerance: Application in Dynamic Portfolio Insurance Strategy

Wentao Hu, Cuixia Chen, Yufeng Shi and Ze Chen ()
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Wentao Hu: Shandong University
Cuixia Chen: Hebei Finance University
Yufeng Shi: Shandong University
Ze Chen: Renmin University of China

Methodology and Computing in Applied Probability, 2022, vol. 24, issue 2, 831-874

Abstract: Abstract Risk measures for tail risk have an important application in the dynamic portfolio insurance strategies. We propose a new risk measure called SlideVaR which overcome the limitation of traditional measures like VaR and ES, and can sufficiently reflect the market changes. Several important properties of SlideVaR and its generalized risk measure have been investigated. Then, we further apply SlideVaR into constructing dynamic portfolio insurance strategy. Our numerical analysis shows that SlideVaR-based portfolio insurance strategy has advantage especially in markets where the state changes frequently.

Keywords: Risk measures; Portfolio insurance; CPPI; SlideVaR (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1007/s11009-022-09951-4

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