Behaviour towards Risk in Structured Portfolio Management

Hachmi Ben Ameur, Jean Luc Prigent

Abstract


We examine the optimal design of financial structured portfolios (equity or index linked notes) within the rank dependent utility framework. We illustrate how these products can be in accordance to investor's attitude towards risk, whereas, for the standard expected utility case, they do not match investor's preferences. These financial products usually involve derivative instruments which allow investors to benefit from capital protection and minimal participation when markets are bullish.


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International Journal of Economics and Finance  ISSN  1916-971X (Print) ISSN  1916-9728 (Online)

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