کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5098815 | 1376961 | 2013 | 17 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Options and structured products in behavioral portfolios
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
کنترل و بهینه سازی
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چکیده انگلیسی
Options and structured products have no roles in mean-variance portfolios, but they have roles in behavioral portfolios. Behavioral portfolios are composed of mental account sub-portfolios, each associated with a goal, such as retirement income or bequest. Investors optimize each mental account by finding the assets and asset allocation that maximizes the expected return of each mental account sub-portfolio subject to the condition that the probability of failing to reach a preset threshold aspiration level not exceed a preset probability. Put options are useful in 'downside protection' mental accounts whose goal is avoiding poverty, whereas call options are useful in 'upside potential' mental accounts whose goal is a shot at riches. We also explore the roles in behavioral portfolios of option collars, capital guaranteed notes, and barrier range notes.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Dynamics and Control - Volume 37, Issue 1, January 2013, Pages 137-153
Journal: Journal of Economic Dynamics and Control - Volume 37, Issue 1, January 2013, Pages 137-153
نویسندگان
Sanjiv R. Das, Meir Statman,