Solving portfolio optimization problems with structured products

DOI10.12732/IJPAM.V93I1.12MaRDI QIDQ2878250zbMATH OpenOpenAlexFDO

Authors M. Baweja, R. R. Saxena

Publication date 28 August 2014

Published in International Journal of Pure and Applied Mathematics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL http://www.ijpam.eu/contents/2014-93-1/12/index.html

zbMATH Keywords

capital-protectedconditional value-at-riskportfolio optimizationstructured products

Mathematics Subject Classification ID

Portfolio theory (91G10) Financial applications of other theories (91G80)

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(6)

• The volatility target effect in structured investment products with capital protection
• Diversification with options and structured products
• Solving optimal investment problems with structured products under CVaR constraints
• scientific article; zbMATH DE number 2065133 (Why is no real title available?)
• A recursive method for static replication of autocallable structured products
• Portfolio optimization with structured products under return constraint

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