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

Benjamin Hamidi (), Emmanuel Jurczenko () and Bertrand Maillet
Additional contact information
Benjamin Hamidi: A.A.Advisors-QCG - ABN AMRO, CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 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: Assurance de portefeuille; CPPI; valeurs extrêmes; régression sur quantile.; 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://shs.hal.science/halshs-00389773
References: Add references at CitEc
Citations:

Published in 2009

Downloads: (external link)
https://shs.hal.science/halshs-00389773/document (application/pdf)

Related works:
Working Paper: D'un multiple conditionnel en assurance de portefeuille: CAViaR pour les gestionnaires? (2009)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:cesptp:halshs-00389773

Access Statistics for this paper

More papers in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL
Bibliographic data for series maintained by CCSD ().