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首页> 外文期刊>Journal of Economic Dynamics and Control >Options and structured products in behavioral portfolios
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Options and structured products in behavioral portfolios

机译：行为投资组合中的期权和结构性产品

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摘要

Options and structured products have no roles in mean-variance portfolios, but they have roles in behavioral portfolios. Behavioral portfolios are composed of mental account sub-portfolios, each associated with a goal, such as retirement income or bequest. Investors optimize each mental account by finding the assets and asset allocation that maximizes the expected return of each mental account sub-portfolio subject to the condition that the probability of failing to reach a preset threshold aspiration level not exceed a preset probability. Put options are useful in 'downside protection1 mental accounts whose goal is avoiding poverty, whereas call options are useful in 'upside potential' mental accounts whose goal is a shot at riches. We also explore the roles in behavioral portfolios of option collars, capital guaranteed notes, and barrier range notes.
机译：期权和结构性产品在均值方差投资组合中没有作用，但在行为投资组合中具有作用。行为投资组合由心理账户子投资组合组成，每个投资组合都与目标（例如退休收入或遗产）相关。投资者在不达到预设阈值期望水平的概率不超过预设概率的条件下，通过找到使每个心理帐户子组合的预期收益最大化的资产和资产分配来优化每个心理帐户。看跌期权在目标是避免贫困的“下行保护”心理账户中很有用，而看涨期权在目标是发财的“潜在上行”心理账户中有用。我们还将探讨期权项圈，资本担保票据和障碍区间票据在行为投资组合中的作用。

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