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

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

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)

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

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