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

DOI10.1007/s10436-013-0223-8zbMath1298.91158OpenAlexW3122191455MaRDI QIDQ470656

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 measurevalue at riskstructured products

Mathematics Subject Classification ID

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

Related Items (2)

Diversification with options and structured products ⋮ Implied risk aversion: an alternative rating system for retail structured products

Cites Work

• Co-monotonicity of optimal investments and the design of structured financial products
• The optimal portfolio problem with coherent risk measure constraints.
• Economic implications of using a mean-VaR model for portfolio selection: a comparison with mean-variance analysis.
• Coherent Measures of Risk

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