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

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Author Info
Benjamin Hamidi () (Centre d'Economie de la Sorbonne et A.A.Advisors-QCG (ABN AMRO)Variances)
Emmanuel Jurczenko () (ESCP-EAP)
Bertrand Maillet () (Centre d'Economie de la Sorbonne, A.A.Advisors-QCG (ABN AMRO)Variances et IEF)
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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Publisher Info
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
Date of revision:
Handle: RePEc:mse:cesdoc:09033

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Web page: http://ces.univ-paris1.fr/
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Related research
Keywords: Portfolio insurance; CPPI; quantile regression.;

Find related papers by JEL classification:
G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation
C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Semiparametric and Nonparametric Methods
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions

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This page was last updated on 2009-11-9.

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