A dynamic autoregressive expectile for time-invariant portfolio protection strategies

in Journal of Economic Dynamics and Control, 46

par Hamidi, Benjamin ; Maillet, Bertrand (19..-....) ; Prigent, Jean-Luc (1958-....)

2014 - 1-29 p. | En anglais

“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.

Voir la revue «Journal of Economic Dynamics and Control»

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