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A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies

  • Benjamin Hamidi
  • Bertrand Maillet
  • Jean-Luc Prigent

Among the most popular techniques for portfolio insurance strategies that are used nowadays, the so-called \Constant Proportion Portfolio In- surance" (CPPI) allocation simply consists in reallocating the risky part of a portfolio according to the market

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Paper provided by Department of Research, Ipag Business School in its series Working Papers with number 2014-131.

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Length: 58 pages
Date of creation: 01 Jan 2014
Date of revision:
Handle: RePEc:ipg:wpaper:2014-131
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