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- handle: 10670/1.9yj0s0
- hal: hal-01697643
- doi: 10.1016/j.jedc.2014.05.005
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info:eu-repo/semantics/altIdentifier/doi/10.1016/j.jedc.2014.05.005
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Benjamin Hamidi et al., « A dynamic autoregressive expectile for time-invariant portfolio protection strategies », HAL-SHS : économie et finance, ID : 10.1016/j.jedc.2014.05.005
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Résumé
“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.