A dynamic autoregressive expectile for time-invariant portfolio protection strategies
Year of publication: |
2014
|
---|---|
Authors: | Hamidi, Benjamin ; Maillet, Bertrand ; Prigent, Jean-Luc |
Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 46.2014, p. 1-29
|
Subject: | CPPI | Expected shortfall | Expectile | Quantile regression | Dynamic quantile model | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Regressionsanalyse | Regression analysis | Theorie | Theory |
-
Althof, Michael, (2022)
-
Quantile regression based enhanced indexing with portfolio rebalancing
Sehgal, Ruchika, (2023)
-
An AI approach to measuring financial risk
Yu, Lining, (2023)
- More ...
-
A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies
Hamidi, Benjamin, (2014)
-
A Risk Management Approach for Portfolio Insurance Strategies
Hamidi, Benjamin, (2009)
-
A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies
Hamidi, Benjamin, (2014)
- More ...