A dynamic autoregressive expectile for time-invariant portfolio protection strategies
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Publication:1994618
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Cites work
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- Asymmetric least squares regression estimation: A nonparametric approach∗
- Asymptotics of Quantiles and Rank Scores in Nonlinear Time Series
- Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
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- Coherent measures of risk
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- Dynamic quantile models
- Effectiveness of CPPI strategies under discrete-time trading
- Expectiles and M-quantiles are quantiles
- scientific article; zbMATH DE number 5984107 (Why is no real title available?)
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- Optimal consumption and portfolio policies when asset prices follow a diffusion process
- OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS
- Optimal investment with minimum performance constraints
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- Quantile hedging
- Quantile regression.
- Regression Quantiles
- Relating quantiles and expectiles under weighted-symmetry
- Stochastic dominance of portfolio insurance strategies OBPI versus CPPI
- Surrogate time series.
- The Stationary Bootstrap
- Theoretical foundations of constant-proportion portfolio insurance
- Theory of constant proportion portfolio insurance
Cited in
(13)- Dynamic portfolio insurance strategies: risk management under Johnson distributions
- Robustness of stable volatility strategies
- An SVM-like approach for expectile regression
- Risk management of time varying floors for dynamic portfolio insurance
- A tail measure with variable risk tolerance: application in dynamic portfolio insurance strategy
- Monotone tail functions: definitions, properties, and application to risk-reducing strategies
- Asset dependency structures and portfolio insurance strategies
- Multiplier optimization for constant proportion portfolio insurance (CPPI) strategy
- An elastic-net penalized expectile regression with applications
- Time-invariant portfolio strategies in structured products with guaranteed minimum equity exposure
- Flexible Expectile Regression in Reproducing Kernel Hilbert Spaces
- Learning rates for kernel-based expectile regression
- On the optimal design of a new class of proportional portfolio insurance strategies in a jump-diffusion framework
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