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Do structured products improve portfolio performance? A backtesting exercise
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DOI：10.1016/j.jimonfin.2025.103396.png)
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Abstract
En 中文
• We generate time series of prices for structured products using real-life underlying assets. • We consider several asset allocation strategies that institutional investors may use. • Inclusion of structured products in institutional investor portfolios is not generating outperformance. • Findings are robust to various assumptions.
Keywords:
G11
G13
Structured product
Portfolio performance
Convertible bonds
Reverse convertible
Barrier reverse convertible
Portfolio management
Journal
IF:
3.3
Papers:
288
Citations:
7.0K