A dynamic autoregressive expectile for time-invariant portfolio protection strategies

Abstract : “Constant proportion portfolio insurance” is a popular technique among portfolio insurance strategies: the risky part of a portfolio is reallocated with respect to market conditions, via a fixed parameter (the multiple), guaranteeing a predetermined floor. We propose here to use a conditional time-varying multiple as an alternative. We provide the main properties of the conditional multiples for some mainstream cases, including discrete-time rebalancing and an underlying risk asset driven by the Lévy process, while evaluating conditional and unconditional gap risks. Finally, we evaluate the use of a dynamic autoregressive expectile model for estimating the conditional multiple in such a context.
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Submitted on : Wednesday, January 31, 2018 - 1:51:25 PM
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Benjamin Hamidi, Bertrand Maillet, Jean-Luc Prigent. A dynamic autoregressive expectile for time-invariant portfolio protection strategies. Journal of Economic Dynamics and Control, Elsevier, 2014, 46, pp.1--29. ⟨10.1016/j.jedc.2014.05.005⟩. ⟨hal-01697643⟩

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