D'un multiple conditionnel en assurance de portefeuille : CAViaR pour les gestionnaires ?

URL des Documents de travail : http://ces.univ-paris1.fr/cesdp/CESFramDP2009.htmClassification JEL : G11, C13, C14, C22, C32.Documents de travail du Centre d'Economie de la Sorbonne 2009.33 - ISSN : 1955-611XIn 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 several specifications of the conditional multiple model on the American equity market, and we compare relative performances of cushioned portfolios using conditional and unconditional multiples.Dans le cadre de l'assurance de portefeuille à coussin, le multiple garantit une exposition constante au risque. Nous proposons une méthode alternative d'estimation conditionnelle de ce multiple, basée sur une modélisation dynamique du centile et la méthode de régression sur quantile. Après avoir estimé différentes versions de notre modèle sur le marché des actions américaines, nous comparons les performances relatives des portefeuilles gérés avec des multiples conditionnels et inconditionnels

D'un multiple conditionnel en assurance de portefeuille : CAViaR pour les gestionnaires ?

Dans le cadre de l'assurance de portefeuille à coussin, le multiple garantit une exposition constante au risque. Nous proposons une méthode alternative d'estimation conditionnelle de ce multiple, basée sur une modélisation dynamique du centile et la méthode de régression sur quantile. Après avoir estimé différentes versions de notre modèle sur le marché des actions américaines, nous comparons les performances relatives des portefeuilles gérés avec des multiples conditionnels et inconditionnels.Assurance de portefeuille, CPPI, valeurs extrêmes, régression sur quantile.

Dynamic - Constant proportion portfolio insurance: aplicação ao índice FTSE 100

Given the risk aversion usually associated with financial markets investors’, it is common, in literature, to present and study strategies to be used in order to limit risk. In this work, a traditional risk management strategy Constant Proportion Portfolio Insurance Strategy (CPPI) is modified in order to use a dynamic multiplier that varies based on the fluctuations of the risky asset prices. This strategy is called Dynamic - Constant Proportion Portfolio Insurance (D-CPPI). The multiplier is adjusted according to the price fluctuations, which means that it will increase when the quote goes up and decrease when the quote goes down. The work is based on the model presented by Yao & Li (2016) and is applied to the British stock market (FTSE 100) in the 2008-2018 period. The performance of D-CPPI is analysed and compared with the performance of the traditional CPPI strategy and with the Buy and Hold (BH) strategy. It also sought to analyse the impact of Brexit on the British market and whether the use of D-CPPI effectively reduces the risk faced by investors in this troubled period. The results show that the D-CPPI has the best profitability rates in falling markets despite its performance is generally lower than CPPI and BH strategies. BH proves to be the strategy that achieves better performance, despite being the one with the highest levels of risk. Brexit had a great impact in the market, however, the use of D-CPPI allowed to guarantee the expected results