Structured Portfolio Management Under Ambiguity
Posted: 12 May 2011 Last revised: 8 Mar 2012
Date Written: May 1, 2011
Abstract
We study the optimal design of financial structured portfolios (equity or index linked notes) within the utility with ambiguity framework. We analyze some of these products with respect to investor’s attitude towards risk, including ambiguity. These financial products usually involve derivative instruments which allow investors to benefit from capital protection and minimal participation when markets are bullish. We provide also a general result about the optimal portfolio profile under ambiguity.
Keywords: portfolio optimization, structured portfolio, ambiguity
JEL Classification: C61, G11, L10
Suggested Citation: Suggested Citation
Prigent, Jean-Luc and Hachmi, Ben Aameur, Structured Portfolio Management Under Ambiguity (May 1, 2011). International Conference of the French Finance Association (AFFI), May 11-13, 2011, Available at SSRN: https://ssrn.com/abstract=1836879
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