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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