| |
| author | Violeta Naydenova |
| title | Portfolio construction with equity linked structured products |
| abstract |
The objective of this thesis is to analyze equity linked structured products with different forms of principal protection features. This exercise is worth undertaking
given the recent developments in the financial markets. In fact, the ongoing crisis has raised concerns over both the relevance of some financial products and their
ability to preserve investors' savings while yielding a return. In investing the construction of structured products, I first study the payoffs; valuation and market
risks associated with the equity linked structured products on a stand-alone investment basis. From this first analysis the conclusion is that on a stand-alone basis
equity linked structured products with principal protection are very attractive investment strategy — protecting the principal invested while yielding returns
on the upside. Next, I investigate how equity linked structured products affect the risk/return profile of a traditional 60 per cent equity and 40 per cent bond
portfolio by using simulation and scenario analysis. From the results I conclude that equity linked structured products with principal protection do not neccessarily
improve the portfolio performance and efficiency of a traditional portfolio because of the opportunity costs associated with them.
|
| school | The College of Liberal Arts, Drew University |
| degree | B.A. (2009) |
| full text | VNaydenova.pdf |
| |
