Risk classes for structured products: mathematical aspects and their implications on behavioral investors

DOI10.1007/S10436-013-0223-8MaRDI QIDQ470656zbMATH OpenOpenAlexFDO

Authors Ji Cao, Marc Oliver Rieger

Publication date 12 November 2014

Published in Annals of Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10436-013-0223-8

zbMATH Keywords

value at riskrisk measurestructured products

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Portfolio theory (91G10) Martingales with continuous parameter (60G44)

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Cites work

• Co-monotonicity of optimal investments and the design of structured financial products
• Coherent measures of risk
• Economic implications of using a mean-VaR model for portfolio selection: a comparison with mean-variance analysis.
• The optimal portfolio problem with coherent risk measure constraints.

Cited in

(7)

• PRIIP-KID: appearances are deceiving or why to expect the unexpected in a generic KID for multiple option products
• PRIIP-KID: \(\mathrm{\underline {p}}\)roviding \(\mathrm{\underline{r}}\)etail \(\mathrm{\underline{i}}\)nvestors with \(\mathrm{\underline{i}}\)nappropriate \(\mathrm{\underline{p}}\)roduct information?
• The volatility target effect in structured investment products with capital protection
• Diversification with options and structured products
• scientific article; zbMATH DE number 7234243 (Why is no real title available?)
• Implied risk aversion: an alternative rating system for retail structured products
• Risk measure optimization: perceived risk and overconfidence of structured product investors

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