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Autre Publication Scientifique Année : 2009

A Risk Management Approach for Portfolio Insurance Strategies

Résumé

Controlling and managing potential losses is one of the main objectives of the Risk Management. Following Ben Ameur and Prigent (2007) and Chen et al. (2008), and extending the first results by Hamidi et al. (2009) when adopting a risk management approach for defining insurance portfolio strategies, we analyze and illustrate a specific dynamic portfolio insurance strategy depending on the Value-at-Risk level of the covered portfolio on the French stock market. This dynamic approach is derived from the traditional and popular portfolio insurance strategy (Cf. Black and Jones, 1987 ; Black and Perold, 1992) : the so-called "Constant Proportion Portfolio Insurance" (CPPI). However, financial results produced by this strategy crucially depend upon the leverage - called the multiple - likely guaranteeing a predetermined floor value whatever the plausible market evolutions. In other words, the unconditional multiple is defined once and for all in the traditional setting. The aim of this article is to further examine an alternative to the standard CPPI method, based on the determination of a conditional multiple. In this time-varying framework, the multiple is conditionally determined in order to remain the risk exposure constant, even if it also depends upon market conditions. Furthermore, we propose to define the multiple as a function of an extended Dynamic AutoRegressive Quantile model of the Value-at-Risk (DARQ-VaR). Using a French daily stock database (CAC 40) and individual stocks in the period 1998-2008), we present the main performance and risk results of the proposed Dynamic Proportion Portfolio Insurance strategy, first on real market data and secondly on artificial bootstrapped and surrogate data. Our main conclusion strengthens the previous ones : the conditional Dynamic Strategy with Constant-risk exposure dominates most of the time the traditional Constant-asset exposure unconditional strategies.
Evaluer, contrôler et gérer les pertes potentielles est un des objectifs principaux de la gestion des risques. Suivant Ben Ameur et Prigent (2007) et Chen et alii (2008) et étendant les premiers résultats de Hamidi et alii (2009), nous adoptons une stratégie d'assurance de portefeuille conforme aux problématiques de la gestion des risques. Cette stratégie dynamique d'assurance de portefeuille dont le levier dépend d'un modèle dynamique autorégressif de quantile est illustrée sur le marché des actions françaises sur des données réelles et simulées. Nos conclusions renforcent les résultats précédents : les stratégies dynamiques à exposition constante au risque dominent la plus part du temps les stratégies inconditionnelles.
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Dates et versions

halshs-00389789 , version 1 (29-05-2009)

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  • HAL Id : halshs-00389789 , version 1

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Benjamin Hamidi, Bertrand Maillet, Jean-Luc Prigent. A Risk Management Approach for Portfolio Insurance Strategies. 2009. ⟨halshs-00389789⟩
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