The Valuation of Structured Products: Empirical Findings for the Swiss Market

Wohlwend, Hanspeter; Grünbichler, Andreas

doi:10.2139/ssrn.467180

SSRN Journal

2003

DOI: 10.2139/ssrn.467180

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The Valuation of Structured Products: Empirical Findings for the Swiss Market

Hanspeter Wohlwend¹,

Andreas Grünbichler

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Cited by 6 publications

References 23 publications

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Capital Protected Notes for Loss Averse Investors: A Counterintuitive Result

Roger

2008

SSRN Journal

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Capital protected notes are very popular structured products since the internet bubble burst in 2000. Investors are protected against large losses they could suffer if they were investing directly in the underlying index or portfolio of stocks. It then seems intuitive that such products are attractive for loss averse investors. However, using a simple version of cumulative prospect theory, we show that these products are not attractive when the investor takes either the underlying index or the risk-free investment as the reference point. She always prefer an investment in the index or in the risk-free portfolio, depending on her coefficient of loss aversion.

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Capital Protected Notes for Loss Averse Investors: A Counterintuitive Result

Roger

2008

SSRN Journal

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Probability Misestimation and Preferences in Financial Investment Decision

Rieger

2008

SSRN Journal

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Investment in Financial Structured Products from a Rational Choice Perspective

Ofir

Wiener

2009

SSRN Journal

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The Valuation of Structured Products: Empirical Findings for the Swiss Market

Cited by 6 publications

References 23 publications

Capital Protected Notes for Loss Averse Investors: A Counterintuitive Result

Capital Protected Notes for Loss Averse Investors: A Counterintuitive Result

Probability Misestimation and Preferences in Financial Investment Decision

Investment in Financial Structured Products from a Rational Choice Perspective

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