Benjamin Hamidi

Université Paris I Panthéon-Sorbonne - CES/CNRS

106 bv de l'Hôpital

Paris, 75013

France

SCHOLARLY PAPERS

2

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4

Scholarly Papers (2)

1.

A Risk Management Approach for Portfolio Insurance Strategies

Proceedings of the 1st EIF International Financial Research Forum, Economica, 2009
Number of pages: 15 Posted: 27 Oct 2008 Last Revised: 10 Jun 2009
Benjamin Hamidi, Bertrand B. Maillet and Jean-Luc Prigent
Université Paris I Panthéon-Sorbonne - CES/CNRS, EMLyon Business School (Paris Campus) and University of Cergy-Pontoise - ThEMA
Downloads 1,118 (19,485)
Citation 7

Abstract:

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CPPI, Portfolio Insurance, VaR, CAViaR, Quantile Regression, Dynamic Quantile Model, Expected Shortfall, Extreme Value

2.

A Dynamic Autoregressive Expectile for Time-Invariant Portfolio Protection Strategies

Number of pages: 66 Posted: 16 Feb 2009 Last Revised: 10 Feb 2018
Benjamin Hamidi, Bertrand B. Maillet and Jean-Luc Prigent
Université Paris I Panthéon-Sorbonne - CES/CNRS, EMLyon Business School (Paris Campus) and University of Cergy-Pontoise - ThEMA
Downloads 36 (462,239)
Citation 1

Abstract:

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CPPI, Expectile, Quantile Regression, Dynamic Quantile Model, Expected Shortfall