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

Author

Listed:
  • Benjamin Hamidi

    (A.A.Advisors-QCG - ABN AMRO, CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique)

  • Emmanuel Jurczenko

    (ESCP-EAP - ESCP-EAP)

  • Bertrand Maillet

    (A.A.Advisors-QCG - ABN AMRO, CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, EIF - Europlace Institute of Finance)

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.

Suggested Citation

  • Benjamin Hamidi & Emmanuel Jurczenko & Bertrand Maillet, 2009. "D'un multiple conditionnel en assurance de portefeuille : CAViaR pour les gestionnaires ?," Post-Print halshs-00389773, HAL.
    • Handle: RePEc:hal:journl:halshs-00389773
    Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00389773
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    References listed on IDEAS

    as
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