Structured Portfolio Management Under Ambiguity

Posted: 12 May 2011 Last revised: 8 Mar 2012

See all articles by Jean-Luc Prigent

Jean-Luc Prigent

University of Cergy-Pontoise - ThEMA

Ben Aameur Hachmi

Amiens School of Management

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

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

Jean-Luc Prigent (Contact Author)

University of Cergy-Pontoise - ThEMA ( email )

33 boulevard du port
33 bd du Port
F-95011 Cergy CEDEX
France

Ben Aameur Hachmi

Amiens School of Management ( email )

18 place Saint Michel
Amiens, 80038
France

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