IJPAM: Volume 93, No. 1 (2014)

SOLVING PORTFOLIO OPTIMIZATION PROBLEMS
WITH STRUCTURED PRODUCTS

Meena Baweja$^1$, Ratnesh R. Saxena$^2$
$^1$Department of Mathematics
University of Delhi
Delhi 110007, INDIA
$^2$Department of Mathematics
Deen Dayal Upadhyay College
Delhi University, Delhi, INDIA


Abstract. This paper investigates how a portfolio based on structured products should be constructed and rebalanced to enhance the return potential. The focus lies on minimizing the risk of the fund. Due to possible intermediate payments from structured products, we have to deal with re-investment problem. The investor re-balances its portfolio at time of maturity of each structured product.

Received: January 19, 2014

AMS Subject Classification:

Key Words and Phrases: conditional value-at-risk, structured products, capital-protected, portfolio optimization

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DOI: 10.12732/ijpam.v93i1.12 How to cite this paper?

Source: International Journal of Pure and Applied Mathematics
ISSN printed version: 1311-8080
ISSN on-line version: 1314-3395
Year: 2014
Volume: 93
Issue: 1
Pages: 147 - 154

CC BY This work is licensed under the Creative Commons Attribution International License (CC BY).