CROSS ASSET PORTFOLIO DERIVATIVES

Stephan Höcht, Matthias Scherer and Philip Seegerer
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Stephan Höcht: HVB-Stiftungsinstitut für Finanzmathematik, Technische Universität München, Boltzmannstrasse 3, 85748 Garching bei München, Germany
Matthias Scherer: HVB-Stiftungsinstitut für Finanzmathematik, Technische Universität München, Boltzmannstrasse 3, 85748 Garching bei München, Germany
Philip Seegerer: Assenagon GmbH, Theresienhöhe 13 a, 80339 München, Germany

Chapter 8 in Alternative Investments and Strategies, 2010, pp 175-197 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe dependence of extreme financial events among different asset classes is taken under consideration on a portfolio level. For this, a new product group, called cross asset portfolio derivatives, is introduced and explained in the light of related existing products and pricing methods.A classification is presented and features of these products are described. Finally, two modeling and pricing frameworks using multivariate stochastic processes and (hierarchical) copulas, respectively, are suggested.

Keywords: Alternative Investments; Portfolio Selection; Trading Strategy; Product Innovations; CPPI; Portfolio Optimization; Portfolio Insurance (search for similar items in EconPapers)
Date: 2010
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