A dynamic autoregressive expectile for time-invariant portfolio protection strategies
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Publication:1994618
DOI10.1016/j.jedc.2014.05.005zbMath1402.91915OpenAlexW3125329023MaRDI QIDQ1994618
Jean-Luc Prigent, Benjamin Hamidi, Bertrand Maillet
Publication date: 1 November 2018
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://halshs.archives-ouvertes.fr/halshs-01015390/file/dr201318.pdf
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Portfolio theory (91G10)
Related Items (10)
Dynamic portfolio insurance strategies: risk management under Johnson distributions ⋮ A tail measure with variable risk tolerance: application in dynamic portfolio insurance strategy ⋮ Monotone tail functions: definitions, properties, and application to risk-reducing strategies ⋮ Robustness of stable volatility strategies ⋮ An SVM-like approach for expectile regression ⋮ MULTIPLIER OPTIMIZATION FOR CONSTANT PROPORTION PORTFOLIO INSURANCE (CPPI) STRATEGY ⋮ Learning rates for kernel-based expectile regression ⋮ Risk management of time varying floors for dynamic portfolio insurance ⋮ ASSET DEPENDENCY STRUCTURES AND PORTFOLIO INSURANCE STRATEGIES ⋮ An elastic-net penalized expectile regression with applications
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