Patrimony
The Louis Bachelier Group's patrimony has been defined as all the publications produced by academic researchers thanks to Group funding (ILB, FdR, IEF, Labex) or via the use of EquipEx data (BEDOFIH, EUROFIDAI).
Performance evaluation of portfolio insurance strategies.
Assurance de portefeuille, CVaR, Cppi, Cumulative prospect theory., Dominance stochastique, Lower partial moments, Moments partiels inférieurs, Obpi, Portfolio insurance, Stochastic dominance, VaR, CVaR, Théorie cumulative des perspectives., VaR
A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies.
Assurance de prtefeuille, CPPI, Dynamic Quantile Model, Expected Shorfall, Expectile, Extreme Value, Quantile Regression, VaR, VaR conditionnelle, Valeur Extrême
A dynamic autoregressive expectile for time-invariant portfolio protection strategies.
CPPI, Dynamic quantile model, Expected shortfall, Expectile, Quantile regression
A dynamic autoregressive expectile for time-invariant portfolio protection strategies.
CPPI, Dynamic quantile model, Expected shortfall, Expectile, Quantile regression