A dynamic autoregressive expectile for time-invariant portfolio protection strategies (Q1994618)

From MaRDI portal
Revision as of 05:33, 17 July 2024 by ReferenceBot (talk | contribs) (‎Changed an Item)
(diff) ← Older revision | Latest revision (diff) | Newer revision → (diff)
scientific article
Language Label Description Also known as
English
A dynamic autoregressive expectile for time-invariant portfolio protection strategies
scientific article

    Statements

    title
    A dynamic autoregressive expectile for time-invariant portfolio protection strategies (English)
    0 references
    author
    Benjamin Hamidi
    0 references
    Bertrand Maillet
    0 references
    Jean-Luc Prigent
    0 references
    publication date
    1 November 2018
    0 references
    Mathematics Subject Classification ID
    91G70
    0 references
    91G10
    0 references
    62P05
    0 references
    zbMATH DE Number
    6970554
    0 references
    zbMATH Keywords
    CPPI
    0 references
    expected shortfall
    0 references
    expectile
    0 references
    quantile regression
    0 references
    dynamic quantile model
    0 references
    OpenAlex ID
    W3125329023
    0 references
    cites work
    Q4839921
    0 references
    Quantile hedging
    0 references
    Q4778955
    0 references
    Q3099635
    0 references
    Q3413299
    0 references
    Regression Quantiles
    0 references
    Surrogate time series.
    0 references
    Q2771116
    0 references
    Q4727203
    0 references
     
    Retrieved from "https://portal.mardi4nfdi.de/w/index.php?title=Item:Q1994618&oldid=36443524"
    Powered by MediaWiki