A dynamic autoregressive expectile for time-invariant portfolio protection strategies (Q1994618): Difference between revisions

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Latest revision as of 05:33, 17 July 2024

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A dynamic autoregressive expectile for time-invariant portfolio protection strategies
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    A dynamic autoregressive expectile for time-invariant portfolio protection strategies (English)
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    1 November 2018
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    CPPI
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    expected shortfall
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    expectile
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    quantile regression
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    dynamic quantile model
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