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

risk measurestructured productsvalue at risk

Mathematics Subject Classification ID

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

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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)

• The volatility target effect in structured investment products with capital protection
• Diversification with options and structured products
• 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?
• Risk measure optimization: perceived risk and overconfidence of structured product investors
• Implied risk aversion: an alternative rating system for retail structured products
• scientific article; zbMATH DE number 7234243 (Why is no real title available?)

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