A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies
| Year of publication: |
2013
|
|---|---|
| Authors: | HAMIDI, Benjamin ; MAILLET, Bertrand ; PRIGENT, Jean-Luc |
| Institutions: | Laboratoire d'Économie d'Orléans (LEO), Faculté de droit, d'économie et de gestion |
| Subject: | CPPI | VaR | Expected Shortfall | Expective | Quantile Regression | Dynamic Quantile Model |
| Series: | |
|---|---|
| Type of publication: | Book / Working Paper |
| Notes: | Number 164 |
| Source: |
Persistent link: https://www.econbiz.de/10010934270