A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies

Benjamin Hamidi, Bertrand Maillet and Jean-Luc Prigent

No 2014-131, Working Papers from Department of Research, Ipag Business School

Abstract: Among the most popular techniques for portfolio insurance strategies that are used nowadays, the so-called \Constant Proportion Portfolio In- surance" (CPPI) allocation simply consists in reallocating the risky part of a portfolio according to the market

Keywords: CPPI; Expectile; VaR; CAViaR; Quantile Regression; Dy- namic Quantile Model; Expected Shortfall; Extreme Value. (search for similar items in EconPapers)
JEL-codes: C13 C14 C22 C32 G11 (search for similar items in EconPapers)
Pages: 58 pages
Date: 2014-01-01
New Economics Papers: this item is included in nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (24)

Downloads: (external link)
https://faculty-research.ipag.edu/wp-content/uploa ... IPAG_WP_2014_131.pdf (application/pdf)

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:ipg:wpaper:2014-131

Access Statistics for this paper

More papers in Working Papers from Department of Research, Ipag Business School Contact information at EDIRC.
Bibliographic data for series maintained by Ingmar Schumacher ().