Many investors hold structured products in their portfolio. The current paper develops a
break-even analysis on how this presence of structured products can be understood based on …

Legal borrowing restrictions are generally claimed to limit portfolio insurance performance.
We explore two alternative rebalancing rules that aim to pick up excess return subject to a …

This paper demonstrates how risk control as applied to popular investment products can be
based on a fallacy. In scope are option-based capital protected products and rules-based …

The European Commission recently published legislative proposals to reform the Markets In
Financial Instruments Directive (MiFID). This note elaborates on the proposed shift in …

We consider a general real option model which allows finite values for all parameters influencing
the value of waiting in case of uncertain and irreversible investment. We show that the …

This article unravels the fundamentally different roles of correlation when building risk-based
portfolios by means of either risk control or risk contribution. We focus on the case of a …

Loss aversion has been shown to be an important driver of people’s investment decisions.
Encouraged by regulators, financial institutions are in search of ways to incorporate clients’ …

The article gives a qualitative description of an advisory or discretionary investment process
that manages the emotional aspect of investing. Portfolios are adaptive, meaning they …

This article develops a framework to select financial investment products along the dimensions
of return, risk, and loss. The focus is on investment products that combine allocations to …

Sophisticated algorithmic techniques are complementing human judgement across the fund
industry. Whatever the type of rebalancing that occurs in the course of a longer horizon, it …