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.

中文翻译：

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具有可变风险容忍度的尾部度量：在动态投资组合保险策略中的应用

尾部风险的风险度量在动态投资组合保险策略中具有重要应用。我们提出了一种新的风险度量，称为 SlideVaR，它克服了 VaR 和 ES 等传统度量的局限性，能够充分反映市场变化。已经研究了 SlideVaR 的几个重要属性及其广义风险度量。然后，我们进一步将 SlideVaR 应用于构建动态投资组合保险策略。我们的数值分析表明，基于 SlideVaR 的投资组合保险策略具有优势，尤其是在状态频繁变化的市场中。