A dynamic autoregressive expectile for time-invariant portfolio protection strategies (Q1994618)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | 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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