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On Path-Dependent Structured Funds: Complexity Does Not Always Pay (Asian versus Average Performance Funds)

Author

Listed:
  • Philippe Bertrand

    (CERGAM - Centre d'Études et de Recherche en Gestion d'Aix-Marseille - AMU - Aix Marseille Université - UTLN - Université de Toulon)

  • Jean-Luc Prigent

    (THEMA - Théorie économique, modélisation et applications - UCP - Université de Cergy Pontoise - Université Paris-Seine - CNRS - Centre National de la Recherche Scientifique)

Abstract

As emphasized by the U.S. Dodd-Frank Act and the European MiFID directive, financial institutions are required to ?categorise their clients and assess their suitability for each type of investment product.? In this framework, this paper examines several standard financial structured products whose performances are based on smoothing the return of an underlying risky asset and providing a guarantee at maturity. We use various criteria such as probabilities of providing merely the guarantee at maturity and Kappa measures. Surprisingly, our study reveals that funds based on averages of calls generally do better than Asian funds.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Philippe Bertrand & Jean-Luc Prigent, 2015. "On Path-Dependent Structured Funds: Complexity Does Not Always Pay (Asian versus Average Performance Funds)," Post-Print hal-01833074, HAL.
    • Handle: RePEc:hal:journl:hal-01833074
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    Cited by:

    1. Bertrand, Philippe & Prigent, Jean-luc, 2019. "On the optimality of path-dependent structured funds: The cost of standardization," European Journal of Operational Research, Elsevier, vol. 277(1), pages 333-350.

    More about this item

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • D03 - Microeconomics - - General - - - Behavioral Microeconomics: Underlying Principles

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