Tid: 31 januari 2011 kl 16.15-17.00.

Plats : Seminarierummet 3721, Institutionen för matematik, KTH, Lindstedts väg 25. (observera dagen och lokalen), Karta!

Föredragshållare: Markus Hveem

Titel: Portfolio management using structured products - The capital guarantee puzzle (Examensarbete – Master thesis)

Abstract

The thesis evaluates the concept of a structured products fund and investigates how a fund based on structured products should be constructed to be as competitive as possible. The focus lies on minimizing the risk of the fund and on capital guarantee. The difficulty with this type of allocation problem is that the available products mature prior the investment horizon, thus the problem of how the capital should be reinvested arises. The thesis covers everything from naive fund constructions to more sophisticated portfolio optimization frameworks and results in recommendations regarding how a portfolio manager should allocate its portfolio given different settings. The study compares different fund alternatives and evaluates them against, competing, benchmark funds. The thesis proposes a framework called the modified Korn and Zeytun framework which allocates a portfolio based on structured products, which have maturity prior the end of the investment horizon, in optimal CVaR sense (i.e. appropriate for funds). The study indicates that the most important concept of a structured products fund is transaction costs. A structured products fund cannot compete against e.g. mixed funds on the market if it cannot limit its transaction costs at approximately the same level as competing funds. The results indicate that it is possible to construct a fund based on structured products that is competitive and attractive given low commission and transaction costs.

The full report (pdf)

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