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|Titolo:||New Efficient Frontier: can structured products really improve risk return profile?|
|Data di pubblicazione:||2010|
|Autori interni:||FUSAI, GIANLUCA|
|Autori:||G. Fusai; G.Zanotti|
|Abstract:||In the last years disappointing returns in equities and rising commodities prices led to an explosive increase of global structured products market in terms of notional and breadth of product offerings. Structured products emerged as a new and alternative investment product. So far research and press coverage related to structured products have mainly focused on pricing. Less research has been done on the way structured products may contribute to the construction of efficient portfolios. However one of the main advantages of structured products is that they give access to risks and returns profiles difficult to replicate with traditional instruments. Indeed, other benefits of structured products are that they allow controlling risk and matching any client investment profile and investment scenario. If this is true, including structured products in a traditional portfolio (a combination of bonds and stocks) should give some advantage in terms of risks returns profiles. The aim of this study is to investigate whether the inclusion of structured products in a traditional portfolio built as a combination of stocks and bonds adds value to the investors in terms of an improved risk‐return profile. We generalize Martellini and other 2005 taking into consideration a wider range of structured products and considering more general stochastic models on the return generation.|
|Appare nelle tipologie:||85 - Rapporti di Ricerca|
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