A dynamic autoregressive expectile for time-invariant portfolio protection strategies

Benjamin Hamidi, Bertrand Maillet () and Jean-Luc Prigent
Additional contact information
Benjamin Hamidi: Neuflize OBC Investissements - Neuflize OBC Investissements
Bertrand Maillet: A.A.Advisors-QCG - ABN AMRO, UR - Université de La Réunion, UO - Université d'Orléans, Institut Louis Bachelier

Post-Print from HAL

Abstract: "Constant proportion portfolio insurance" is a popular technique among portfolio insurance strategies: the risky part of a portfolio is reallocated with respect to market conditions, via a fixed parameter (the multiple), guaranteeing a predetermined floor. We propose here to use a conditional time-varying multiple as an alternative. We provide the main properties of the conditional multiples for some mainstream cases, including discrete-time rebalancing and an underlying risk asset driven by the Lévy process, while evaluating conditional and unconditional gap risks. Finally, we evaluate the use of a dynamic autoregressive expectile model for estimating the conditional multiple in such a context.

Keywords: CPPI; Expected shortfall; Expectile; Quantile regression; Dynamic quantile model (search for similar items in EconPapers)
Date: 2014-09-01
References: Add references at CitEc
Citations: View citations in EconPapers (16)

Published in Journal of Economic Dynamics and Control, 2014, 46, 1-29 p. ⟨10.1016/j.jedc.2014.05.005⟩

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Journal Article: A dynamic autoregressive expectile for time-invariant portfolio protection strategies (2014)
Working Paper: A dynamic autoregressive expectile for time-invariant portfolio protection strategies (2014)
Working Paper: A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies (2014)
Working Paper: A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies (2014)
Working Paper: A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies (2013)
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:journl:hal-02312331

DOI: 10.1016/j.jedc.2014.05.005

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().