Model for Dynamic Multiple of CPPI Strategy

Table 2

Estimates of GPD parameters and quantile of residuals 𝑧_𝑘.

𝑢	𝜉̂	𝛽	𝑁𝑢/𝑁	𝐹𝑍^−1(1−𝛼)
0.045	−0.101	0.024	9.714%	0.133