A Tail Measure With Variable Risk Tolerance: Application in Dynamic Portfolio Insurance Strategy

被引：0
|
作者：
Wentao Hu
Cuixia Chen
Yufeng Shi
Ze Chen
机构：
[1] Shandong University,Institute for Financial Studies
[2] Hebei Finance University,School of Finance
[3] Renmin University of China,China Insurance Institute
[4] Renmin University of China,undefined
来源：
Methodology and Computing in Applied Probability | 2022年 / 24卷
关键词：
Risk measures; Portfolio insurance; CPPI; SlideVaR;
D O I：
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中图分类号：
学科分类号：
摘要：
Risk measures for tail risk have an important application in the dynamic portfolio insurance strategies. We propose a new risk measure called SlideVaR which overcome the limitation of traditional measures like VaR and ES, and can sufficiently reflect the market changes. Several important properties of SlideVaR and its generalized risk measure have been investigated. Then, we further apply SlideVaR into constructing dynamic portfolio insurance strategy. Our numerical analysis shows that SlideVaR-based portfolio insurance strategy has advantage especially in markets where the state changes frequently.
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页码：831 / 874
页数：43
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