Journal PostsArchive for March, 2008
The Deliberate Investor
By Harry Niederau | March 15, 2008
As alluded to in our Dow Jones post in February 2008, structured products granting capital protection can be cost-intensive if capital protection is achieved by means of hedging. In this post we introduce a fictitious but substantial private investor who pursues and investment strategy in stocks which assures capital protection at a 95% level of confidence and which (up to the initial portfolio set-up) is free of transaction costs and costs of hedging. This post is supplemented by a small C++ optimization executable to mimic the outcome of such a strategy.
Topics: macro-economics | | Comments