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A dynamic autoregressive expectile for time-invariant portfolio protection strategies

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  • Hamidi, Benjamin
  • Maillet, Bertrand
  • Prigent, Jean-Luc

Abstract

“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.

Suggested Citation

  • Hamidi, Benjamin & Maillet, Bertrand & Prigent, Jean-Luc, 2014. "A dynamic autoregressive expectile for time-invariant portfolio protection strategies," Journal of Economic Dynamics and Control, Elsevier, vol. 46(C), pages 1-29.
  • Handle: RePEc:eee:dyncon:v:46:y:2014:i:c:p:1-29
    DOI: 10.1016/j.jedc.2014.05.005
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    Cited by:

    1. Branger, Nicole & Mahayni, Antje & Zieling, Daniel, 2015. "Robustness of stable volatility strategies," Journal of Economic Dynamics and Control, Elsevier, vol. 60(C), pages 134-151.
    2. Caporin, Massimiliano & Costola, Michele & Jannin, Gregory & Maillet, Bertrand, 2018. "“On the (Ab)use of Omega?”," Journal of Empirical Finance, Elsevier, vol. 46(C), pages 11-33.
    3. repec:ipg:wpaper:2014-604 is not listed on IDEAS
    4. repec:ipg:wpaper:2014-511 is not listed on IDEAS
    5. repec:spr:annopr:v:262:y:2018:i:2:d:10.1007_s10479-016-2121-8 is not listed on IDEAS
    6. repec:ipg:wpaper:2014-509 is not listed on IDEAS
    7. Naceur Naguez & Jean-Luc Prigent, 2014. "Dynamic Portfolio Insurance Strategies: Risk Management under Johnson Distributions," Working Papers 2014-329, Department of Research, Ipag Business School.
    8. repec:ipg:wpaper:2014-468 is not listed on IDEAS
    9. repec:eee:finlet:v:24:y:2018:i:c:p:10-18 is not listed on IDEAS
    10. repec:ipg:wpaper:2014-531 is not listed on IDEAS
    11. repec:eee:ejores:v:269:y:2018:i:1:p:363-381 is not listed on IDEAS
    12. Farooq, Muhammad & Steinwart, Ingo, 2017. "An SVM-like approach for expectile regression," Computational Statistics & Data Analysis, Elsevier, vol. 109(C), pages 159-181.
    13. Xiu Xu & Andrija Mihoci & Wolfgang Karl Härdle, "undated". "lCARE – localizing Conditional AutoRegressive Expectiles," SFB 649 Discussion Papers SFB649DP2015-052, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    14. Zieling, Daniel & Mahayni, Antje & Balder, Sven, 2014. "Performance evaluation of optimized portfolio insurance strategies," Journal of Banking & Finance, Elsevier, vol. 43(C), pages 212-225.
    15. repec:ipg:wpaper:2014-510 is not listed on IDEAS

    More about this item

    Keywords

    CPPI; Expected shortfall; Expectile; Quantile regression; Dynamic quantile model;

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling
    • G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage
    • L10 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance - - - General

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