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

DOI10.1016/j.ejor.2019.02.003zbMath1431.91354OpenAlexW2911491605MaRDI QIDQ1735195

Philippe Bertrand, Jean-Luc 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

stochastic volatilityfinanceportfolio insurancecompensating variationstructured financial products

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items

PORTFOLIO INSURANCE UNDER ROUGH VOLATILITY AND VOLTERRA PROCESSES, Transparent structured products for retail investors

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