On Path-Dependent Structured Funds: Complexity Does Not Always Pay (Asian versus Average Performance Funds)
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- Philippe Bertrand & Jean-Luc Prigent, 2015. "On Path-Dependent Structured Funds: Complexity Does Not Always Pay (Asian versus Average Performance Funds)," Finance, Presses universitaires de Grenoble, vol. 36(2), pages 67-105.
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More about this item
KeywordsStructured financial products; portfolio insurance; Asian options; average of calls; Kappa measures.;
- 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
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2014-06-28 (All new papers)
- NEP-IAS-2014-06-28 (Insurance Economics)
- NEP-SEA-2014-06-28 (South East Asia)
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