Hamidi, Benjamin; Jurczenko, Emmanuel; Maillet, Bertrand - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2009
In a Constant Proportion Portfolio Insurance (CPPI) framework, a constant risk exposure is defined by the multiple of the strategy. This article proposes an alternative conditional multiple estimation model, which is based on an autoregressive quantile regression dynamic approach. We estimate...
