A dynamic autoregressive expectile for time-invariant portfolio protection strategies - Archive ouverte HAL Accéder directement au contenu
Article Dans Une Revue Journal of Economic Dynamics and Control Année : 2014

A dynamic autoregressive expectile for time-invariant portfolio protection strategies

Bertrand Maillet
Jean-Luc Prigent
  • Fonction : Auteur

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.
Fichier non déposé

Dates et versions

hal-02312331 , version 1 (04-03-2020)

Identifiants

  • HAL Id : hal-02312331 , version 1

Citer

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, 1-29 p. ⟨hal-02312331⟩

Collections

EMLYON
17 Consultations
0 Téléchargements

Partager

Gmail Mastodon Facebook X LinkedIn More