We examine the maximization problem of performance measure of financial structured products. For this purpose, we introduce the Kappa ratios, based on downside risk measures which take account of the asymmetry of the return probability distribution. First, we deal with the optimization of some...

This paper examines the equilibrium of portfolio under insurance constraints on the terminal wealth. We consider a single period economy in which agents search to maximize the expected utilities of their terminal wealths. Both partial and general optimal financial equilibria are determined and...

This paper deals with performance measurement of financial structured products. For this purpose, we introduce the Sharpe-Omega ratio, based on put as downside risk measure. This allows to take account of the asymmetry of the return probability distribution. We provide general results about the...

We consider option pricing when dynamic portfolios are discretely rebalanced. The portfolio adjustments only occur after fixed relative changes in the stock price. The stock price follows a marked point process and the market is incomplete. We first characterize the equivalent martingale...

Mixed-asset portfolio optimization consists in determining the best allocation among standard financial assets such as money market accounts, bonds, stocks and real estate asset as well. For this latter kind of asset, computing the optimal weight can be challenging. First, there is the need to...

The paper introduces the theory of optimal positioning of financial products. It is illustrated in the context of long-term intertemporal portfolio allocation and can be applied for example to asset allocation funds. We embed this problem in location theory: the portfolio is optimized within the...

Portfolio insurance allows investors to recover, at maturity, a given percentage of their initial invsetment. This limits downside risk in falling markets and allows some participation in rising markets. One of the standard portfolio insurance methods is the Constant Proportion Portfolio...

We consider the investor choice among standardized portfolios, which are based on cash, bond and stock indexes. We present the intertemporal optimization problem with commonly used utility functions. We provide a method to determine the optimal investor's choice, based on the knowledge of...

One of the standard insurance portfolio method is the Constant Proportion Portfolio Insurance (CPPI). Using a quantile hedging approach, this paper provides an upper bound on the standard multiple m. This bound is statistically approximated by applying the extreme value theory to the study of...

This paper examines the optimality of portfolio under insurance constraints on the horizon wealth. A one period model is considered. Portfolio insurers are modelled as expected utilitymaximizing agents. The optimal portfolio is determined forquite general utility functions, stock prices and...