Can utility optimization explain the demand for structured investment products?

DOI10.1080/14697688.2013.823512zbMath1308.91141OpenAlexW2068790057MaRDI QIDQ5245026

Marc Oliver Rieger, Thorsten Hens

Publication date: 1 April 2015

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://www.zora.uzh.ch/id/eprint/95114/1/Hens_Rieger_QF_2014.pdf

zbMATH Keywords

prospect theoryutility maximizationstructured productsbehavioural finance

Mathematics Subject Classification ID

Utility theory (91B16) Portfolio theory (91G10)

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Characterization of acceptance sets for co-monotone risk measures ⋮ Transparent structured products for retail investors ⋮ Financial complexity and trade ⋮ Diversification with options and structured products ⋮ Implied risk aversion: an alternative rating system for retail structured products

Cites Work

• Optimal financial investments for non-concave utility functions
• Advances in prospect theory: cumulative representation of uncertainty
• The role of aspiration level in risky choice: A comparison of cumulative prospect theory and SP/A theory
• The asymptotic elasticity of utility functions and optimal investment in incomplete markets
• Prospect Theory: An Analysis of Decision under Risk
• Is Mean-Variance Analysis Vacuous: Or was Beta Still Born?
• Safety First and the Holding of Assets

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