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

DOI10.1007/S10436-013-0223-8zbMATH Open1298.91158OpenAlexW3122191455MaRDI QIDQ470656FDOQ470656

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

Recommendations

• Implied risk aversion: an alternative rating system for retail structured products
• scientific article; zbMATH DE number 7234243
• Can utility optimization explain the demand for structured investment products?
• Risk measure optimization: perceived risk and overconfidence of structured product investors
• The volatility target effect in structured investment products with capital protection

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)

Cites Work

• Coherent measures of risk
• Co-monotonicity of optimal investments and the design of structured financial products
• 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 (3)

• Diversification with options and structured products
• Title not available (Why is that?)
• Implied risk aversion: an alternative rating system for retail structured products

This page was built for publication: Risk classes for structured products: mathematical aspects and their implications on behavioral investors

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q470656)