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Article Dans Une Revue Journal of Economic Dynamics and Control Année : 2014

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.

Dates et versions

hal-01697643 , version 1 (31-01-2018)

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Benjamin Hamidi, Bertrand Maillet, Jean-Luc Prigent. A dynamic autoregressive expectile for time-invariant portfolio protection strategies. Journal of Economic Dynamics and Control, 2014, 46, pp.1--29. ⟨10.1016/j.jedc.2014.05.005⟩. ⟨hal-01697643⟩
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