Under the impact of both increasing credit pressure and low economic returns characterizing
developed countries, investment levels have decreased over recent years. Moreover, the …

Designing a structured investment product with capital protection which would be
characterized by high capital protection level as well as high equity participation rate is a …

Abstract Volatility Target (VolTarget) strategies as underlying assets for options embedded
in investment-linked products have been widely used by practitioners in recent years …

In this article we introduce a new allocation strategy called Risk “Dis”-Parity. Much like Risk
Parity, it considers the riskiness of both equities and bonds. However, unlike Risk Parity, this …

Options Exchange's (CBOE) S&P 500 Volatility Index (VIX) futures, outperform the S&P 500
Index. The population of inverse funds consists of 10 exchange-traded notes (ETNs) and …

Recent years have seen an emerging class of structured financial products based on
options linked to dynamic asset allocation strategies. One of the most chosen approach is …

The volatility that gripped the market during the latter half of 2008 led many traders to
change their trading behaviour. The relative volume of block trades that were executed in …

Die Arbeit untersucht, ob die Umsetzung von „Volatilitaetsziel “-Strategien in der
Vergangenheit erfolgreicher als herkömmliche „Kaufen-und-Halten “-Strategien gewesen …

An optimal dividend problem with investment opportunities, taking into consideration a
source of strategic risk is being considered, as well as the effect of market frictions on the …

This paper compares quarterly rebalanced equity/bond portfolios with 2 different target
volatility approaches and a stress allocation model that switches between a normal and a …