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D'un multiple conditionnel en assurance de portefeuille : CAViaR pour les gestionnaires ?

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Abstract

In a Constant Proportion Portfolio Insurance (CPPI) framework, a constant risk exposure is defined by the multiple of the strategy. This article proposes an alternative conditional multiple estimation model, which is based on an autoregressive quantile regression dynamic approach. We estimate several specifications of the conditional multiple model on the American equity market, and we compare relative performances of cushioned portfolios using conditional and unconditional multiples.

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File URL: ftp://mse.univ-paris1.fr/pub/mse/CES2009/09033.pdf
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Paper provided by Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne in its series Documents de travail du Centre d'Economie de la Sorbonne with number 09033.

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Length: 32 pages
Date of creation: May 2009
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Handle: RePEc:mse:cesdoc:09033

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Keywords: Portfolio insurance; CPPI; quantile regression.;

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