Publications

Authors:

DI PERSIO, Luca; Mancinelli, D.; Oliva, Immacolata; Wallbaum, K.

Title:

Time‐invariant portfolio strategies in structured products with guaranteed minimum equity exposure

Year:

2023

Type of item:

Articolo in Rivista

Tipologia ANVUR:

Articolo su rivista

Language:

Inglese

Referee:

Sì

Name of journal:

APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY

ISSN of journal:

1524-1904

N° Volume:

39

Number or Folder:

6

:

John Wiley & Sons Limited:1 Oldlands Way, Bognor Regis, P022 9SA United Kingdom:011 44 1243 779777, EMAIL: cs-journals@wiley.co.uk, INTERNET: http://www.wiley.co.uk, Fax: 011 44 1243 843232

Page numbers:

847-868

Keyword:

guaranteed minimum equity exposure; portfolio insurance strategies; stochastic volatility; structured products; time-invariant portfolio protection

Short description of contents:

We introduce a new exotic option to be used within structured products to address a key disadvantage of standard time-invariant portfolio protection: the well-known cash-lock risk. Our approach suggests enriching the framework by including a threshold in the allocation mechanism so that a guaranteed minimum equity exposure (GMEE) is ensured at any point in time. To be able to offer such a solution still with hard capital protection, we apply an option-based structure with a dynamic allocation logic as underlying. We provide an in-depth analysis of the prices of such new exotic options, assuming a Heston-Vasicek-type financial market model, and compare our results with other options used within structured products. Our approach represents an interesting alternative for investors aiming at downsizing protection via time-invariant portfolio protection strategies, meanwhile being also afraid to experience a cash-lock event triggered by market turmoils.

Web page:

https://onlinelibrary.wiley.com/doi/full/10.1002/asmb.2805

Product ID:

138127

Handle IRIS:

11562/1120491

Last Modified:

March 2, 2024

Bibliographic citation:

DI PERSIO, Luca; Mancinelli, D.; Oliva, Immacolata; Wallbaum, K., Time‐invariant portfolio strategies in structured products with guaranteed minimum equity exposure «APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY» , vol. 39 , n. 6 , 2023 , pp. 847-868

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