Essays on structured products and algorithmic portfolios

Date: 18 September 2015

Venue: University of Antwerp, Promotiezaal Grauwzusters - Lange Sint-Annastraat 7 - 2000 Antwerp

Time: 4:30 PM

PhD candidate: Jürgen Vandenbroucke

Principal investigator: Prof. dr. Jan Annaert

Co-principal investigator: Prof. dr. Marc De Ceuster

Short description: PhD defence Jürgen Vandenbroucke - Faculty of Applied Economics

“Essays on Structured Products and Algorithmic Portfolios” studies portfolio management techniques that aim for gains to occur more frequently and/or to be larger in magnitude than losses. 

Examples are option replication, constant proportion portfolio insurance and structured products.  The dissertation dedicates an essay to each.   With a particular focus on the relevance for the Belgian retail market, each portfolio approach is cast in a theoretical setting and analyzed in a way that brings new insights.