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

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  • Philippe Bertrand
  • Jean-luc Prigent

Abstract

As emphasized by the U.S. Dodd-Frank Act and the European MiFID directive, financial institu-

Suggested Citation

  • Philippe Bertrand & Jean-luc Prigent, 2014. "On Path-Dependent Structured Funds: Complexity Does Not Always Pay (Asian versus Average Performance Funds)," Working Papers 2014-348, Department of Research, Ipag Business School.
  • Handle: RePEc:ipg:wpaper:2014-348
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    References listed on IDEAS

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    2. Unser, Matthias, 2000. "Lower partial moments as measures of perceived risk: An experimental study," Journal of Economic Psychology, Elsevier, vol. 21(3), pages 253-280, June.
    3. Stoimenov, Pavel A. & Wilkens, Sascha, 2005. "Are structured products 'fairly' priced? An analysis of the German market for equity-linked instruments," Journal of Banking & Finance, Elsevier, vol. 29(12), pages 2971-2993, December.
    4. S. G. Kou & Hui Wang, 2004. "Option Pricing Under a Double Exponential Jump Diffusion Model," Management Science, INFORMS, vol. 50(9), pages 1178-1192, September.
    5. Joost Driessen & Pascal Maenhout, 2007. "An Empirical Portfolio Perspective on Option Pricing Anomalies," Review of Finance, European Finance Association, vol. 11(4), pages 561-603.
    6. Bertrand, Philippe & Prigent, Jean-luc, 2011. "Omega performance measure and portfolio insurance," Journal of Banking & Finance, Elsevier, vol. 35(7), pages 1811-1823, July.
    7. Das, Sanjiv R. & Statman, Meir, 2013. "Options and structured products in behavioral portfolios," Journal of Economic Dynamics and Control, Elsevier, vol. 37(1), pages 137-153.
    8. Philippe Bertrand & Jean-Luc Prigent, 2005. "Portfolio Insurance Strategies: OBPI versus CPPI," Post-Print hal-01833077, HAL.
    9. Nicole El Karoui & Monique Jeanblanc‐Picquè & Steven E. Shreve, 1998. "Robustness of the Black and Scholes Formula," Mathematical Finance, Wiley Blackwell, vol. 8(2), pages 93-126, April.
    10. Merton, Robert C., 1976. "Option pricing when underlying stock returns are discontinuous," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 125-144.
    11. Turnbull, Stuart M. & Wakeman, Lee Macdonald, 1991. "A Quick Algorithm for Pricing European Average Options," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 26(3), pages 377-389, September.
    12. Cyrus Ramezani & Yong Zeng, 2007. "Maximum likelihood estimation of the double exponential jump-diffusion process," Annals of Finance, Springer, vol. 3(4), pages 487-507, October.
    13. Martin Weber & Elke U. Weber & Alen Nosić, 2013. "Who takes Risks When and Why: Determinants of Changes in Investor Risk Taking," Review of Finance, European Finance Association, vol. 17(3), pages 847-883.
    14. Hersh Shefrin & Meir Statman, 1993. "Behavioral Aspects of the Design and Marketing of Financial Products," Financial Management, Financial Management Association, vol. 22(2), Summer.
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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.

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    More about this item

    Keywords

    Structured financial products; portfolio insurance; Asian options; average of calls; Kappa measures.;
    All these keywords.

    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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