On the optimality of path-dependent structured funds: the cost of standardization

DOI10.1016/J.EJOR.2019.02.003MaRDI QIDQ1735195zbMATH OpenOpenAlexFDO

Authors Philippe Bertrand, J. L. Prigent

Publication date 28 March 2019

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ejor.2019.02.003

zbMATH Keywords

financestochastic volatilityportfolio insurancecompensating variationstructured financial products

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cites work

• scientific article; zbMATH DE number 4010171 (Why is no real title available?)
• scientific article; zbMATH DE number 1834045 (Why is no real title available?)
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Advances in prospect theory: cumulative representation of uncertainty
• An Empirical Portfolio Perspective on Option Pricing Anomalies*
• Finite maturity caps and floors on continuous flows
• Optimal consumption and portfolio policies when asset prices follow a diffusion process
• Optimal portfolio in partially observed stochastic volatility models.
• Optimal portfolio management with American capital guarantee
• Options and structured products in behavioral portfolios
• Portfolio Optimization and Performance Analysis
• Regret in Decision Making under Uncertainty
• Some implications of a more general form of regret theory
• Standardized versus customized portfolio: a compensating variation approach

Cited in

(7)

• Can utility optimization explain the demand for structured investment products?
• Co-monotonicity of optimal investments and the design of structured financial products
• Portfolio insurance under rough volatility and Volterra processes
• The Role of a Reference Yield Fitting Technique in the Fund Transfer Pricing Mechanism
• The volatility target effect in structured investment products with capital protection
• Standardized versus customized portfolio: a compensating variation approach
• Transparent structured products for retail investors

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