A dynamic autoregressive expectile for time-invariant portfolio protection strategies

@inproceedings{Hamidi2014ADA,
  title={A dynamic autoregressive expectile for time-invariant portfolio protection strategies},
  author={Benjamin Hamidi and Bertrand Maillet and Jean-Luc Prigent},
  year={2014}
}
Constant proportion portfolio insurance” (CPPI) is nowadays one of the most popular techniques for portfolio insurance strategies. It simply consists of reallocating the risky part of a portfolio with respect to market conditions, via a leverage parameter called the multiple guaranteeing a predetermined floor. We propose to introduce a conditional time-varying multiple as an alternative to the standard unconditional CPPI method, directly linked to actual risk management problematics. This ex… CONTINUE READING
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