A dynamic autoregressive expectile for time-invariant portfolio protection strategies
Résumé
“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.
Domaines
Economies et financesFormat du dépôt | Notice |
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Type de dépôt | Article dans une revue |
Titre |
en
A dynamic autoregressive expectile for time-invariant portfolio protection strategies
|
Résumé |
en
“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.
|
Auteur(s) |
Benjamin Hamidi
1
, Bertrand Maillet
2, 3, 4, 5
, Jean-Luc Prigent
6
1
Neuflize OBC Investissements
( 221202 )
- 3, avenue Hoche, F 75008 Paris
- France
2
LEO -
Laboratoire d'Économie d'Orleans [UMR7322]
( 199945 )
- Université d'Orléans - UFR Droit Economie Gestion - Rue de Blois - BP 26739 - 45067 ORLÉANS Cedex 2
- France
3
ABN AMRO
( 320978 )
- Pays-Bas
4
CEMOI -
Centre d'Économie et de Management de l'Océan Indien
( 106168 )
- 15 avenue René Cassin - BP7151 - 97715 Saint Denis MESSAG CEDEX 9
- La Réunion
5
Institut Louis Bachelier
( 520866 )
- Institut Louis Bachelier
Palais Brongniart
28 place de la Bourse
75002 Paris
- France
6
THEMA -
Théorie économique, modélisation et applications
( 10592 )
- 33, boulevard du Port 95011 Cergy-Pontoise Cedex
- France
|
Langue du document |
Anglais
|
Nom de la revue |
|
Vulgarisation |
Non
|
Comité de lecture |
Oui
|
Audience |
Internationale
|
Date de publication |
2014-10
|
Volume |
46
|
Page/Identifiant |
1--29
|
Domaine(s) |
|
Voir aussi |
|
Mots-clés |
en
CPPI, Dynamic quantile model, Expected shortfall, Expectile, Quantile regression
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DOI | 10.1016/j.jedc.2014.05.005 |
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