Understanding the Factors Driving the Demand of Structured Investment Products
研究了理性投资者在最优资产配置中能否从结构化产品获益，发现收益因产品结构、投资期限和风险厌恶程度而异，且取决于定价模型和风险溢价。
ABSTRACT Structured products have gained increasing popularity among retail investors over the last decade, both in Europe and in the United States. However, based on data on the ex post realized gains of retail clients investing in certificates, the literature has concluded that the high demand of these products may be hard to rationalize within a portfolio optimization framework. In this paper, we investigate whether a rational, perfectly informed investor with constant relative risk aversion (CRRA) preferences who optimally allocates her wealth among risky and riskless assets can ex ante expect to benefit from adding structured products to her portfolio. We show that the utility gains from investment certificates vary dramatically across alternative structures, investment horizons, and levels of risk aversion. We also find that the optimal demand for investment certificates and their benefits depend heavily on the pricing models informing the portfolio assessment and the size of the risk premia associated with them.