Essays on structured products and algorithmic portfolios
18 September 2015
University of Antwerp, Promotiezaal Grauwzusters - Lange Sint-Annastraat 7 - 2000 Antwerp
Prof. dr. Jan Annaert
Prof. dr. Marc De Ceuster
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.