Li, Yuanshun; Anderson, Scott; McGraw, Patricia A. - In: Journal of risk and financial management : JRFM 15 (2022) 10, pp. 1-20
protected notes (EL-PAM-PPNs) and the mean return and volatility of the underlying portfolio using 1568 EL-PAM-PPNs issued in … the UK and Canada between 2003 and 2015. We find that: (i) the underlying portfolio’s mean return decreases the note … holding cost; (ii) the underlying portfolio’s volatility increases the note return and decreases the note holding cost; (iii …
