A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies
Bertrand Maillet and
Jean-Luc Prigent ()
No 2014-131, Working Papers from Department of Research, Ipag Business School
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: G11 C13 C14 C22 C32 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-rmg
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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 (2013)
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