*Tid:* **23 februari 2009 kl 16.15-17.00 **
*Plats :* **Seminarierummet 3733**, Institutionen för
matematik, KTH, Lindstedts väg 25, plan 7. Karta!
*Föredragshållare:*
**
William Sjöberg
**
**Titel:**
Structured products: optimal allocation in different market climates. (Examensarbete - Master thesis)
Report (pdf)
**Sammanfattning:**
The purpose of this thesis is to investigate if there is any
difference in optimal allocation in structured products in different
market climates. There are four different market climates considered;
low/high interest rate and low/high implied volatility, where three
assets are available; a risk less asset (bond), a risky asset (equity
index) and a structured product (bond and derivative). This is
accomplished by extracting the risk neutral density from the option
market for the two different implied volatility levels. The risk
neutral density is then transformed to a real world density
corresponding to different expected risk premiums. Utility relations
are explored for investments in structured products and a
representative investor is defined. Portfolio optimization is
performed on each scenario where the objective is to maximize
terminal expected utility.
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