Structured Products in a Portfolio of Retail Investor

ISBN-13: 9783639232011 / Angielski / Miękka / 2010 / 104 str.

Elena Kabatchenko

Opis

Are structured products a good investment alternative for a retail investor from a theoretical point of view? The research presented in this book aimes at answering this question. Econometrical analysis of structured products shows interesting characteristics towards asymmetry of the return distribution of the products. Skewness, which is the measure of asymmetry of distribution, is much higher for structured products than it is for e.g. stocks. However, if portfolios of retail investors are to be constructed according to the traditional portfolio theory, skewness does not play any role, and structured products would not be of much interest to the investors. This book investigates whether skewness is in fact an important factor for an investor, how it can be incorporated in the theoretical framework of portfolio analysis and additionaly it presents a discussion of whether structured products can and should be viewed as an independent asset class in the portfolio of a retail investor.

O autorze

Elena Kabatchenko, born in 1980, is an Economist in the Central Bank of Denmark. She received her MSc degree in Finance from Aarhus School of Business (Denmark) in 2008. At the Central Bank of Denmark she is currently working in the area of Securities Statistics and Statistics of National Accounts.