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Una estrategia de inversión y cobertura mediante la combinación de notas estructuradas
[An Investment and Hedging Strategy by Combining Structured Notes]

Author

Listed:
  • Aguilar-Juárez, Isabel Patricia
  • Venegas-Martínez, Francisco

Abstract

This paper is aimed at developing an investment strategy consisting of a portfolio of structured notes. The portfolio considers two dimensions: first, a vertical dimension consisting of a combination of structured notes with the same duration to ensure predictable cash flow at maturity of this structure, and a horizontal dimension considering the integration into the final structure of a new structured note whose term begins upon the expiration of the vertical structure. This structure allows updating the price of the underlying asset during the term of the proposed structure, as well as extending the term of the investment, ensuring the initial capital and offering the possibility of higher returns than the market with low risk. Finally, for illustrative purposes it is developed in detail an application of the proposal and compared with other alternatives available on the market.

Suggested Citation

  • Aguilar-Juárez, Isabel Patricia & Venegas-Martínez, Francisco, 2014. "Una estrategia de inversión y cobertura mediante la combinación de notas estructuradas [An Investment and Hedging Strategy by Combining Structured Notes]," MPRA Paper 58928, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:58928
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    References listed on IDEAS

    as
    1. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
    2. Venegas-Martínez, Francisco, 2007. "Mercados de notas estructuradas. Un análisis descriptivo y métodos de evaluación," El Trimestre Económico, Fondo de Cultura Económica, vol. 0(295), pages 615-661, julio-sep.
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    More about this item

    Keywords

    Structured notes; private investment; portfolios.;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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