دانلود مقاله ISI انگلیسی شماره 52804
عنوان فارسی مقاله

طراحی مقرری سالیانه ارزش سهام ایندکس شده

کد مقاله سال انتشار مقاله انگلیسی ترجمه فارسی تعداد کلمات
52804 2008 13 صفحه PDF سفارش دهید محاسبه نشده
خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.
عنوان انگلیسی
The design of equity-indexed annuities
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Insurance: Mathematics and Economics, Volume 43, Issue 3, December 2008, Pages 303–315

کلمات کلیدی
مقرری سالیانه ارزش سهام ایندکس شده - قراردادهای ارزش سهام مرتبط - محصولات ساخت - طراحی بهینه - انتخاب سبد سهام مطلوب
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پیش نمایش مقاله طراحی مقرری سالیانه ارزش سهام ایندکس شده

چکیده انگلیسی

There is a rich variety of tailored investment products available to the retail investor in every developed economy. These contracts combine upside participation in bull markets with downside protection in bear markets. Examples include equity-linked contracts and other types of structured products. This paper analyzes these contracts from the investor’s perspective rather than the issuer’s using concepts and tools from financial economics. We analyze and critique their current design and examine their valuation from the investor’s perspective. We propose a generalization of the conventional design that has some interesting features. The generalized contract specifications are obtained by assuming that the investor wishes to maximize end of period expected utility of wealth subject to certain constraints. The first constraint is a guaranteed minimum rate of return which is a common feature of conventional contracts. The second constraint is new. It provides the investor with the opportunity to outperform a benchmark portfolio with some probability. We present the explicit form of the optimal contract assuming both constraints apply and we illustrate the nature of the solution using specific examples. The paper focusses on equity-indexed annuities as a representative type of such contracts but our approach is applicable to other types of equity-linked contracts and structured products.

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