The academic and practitioner literature now includes numerous studies of the substantial issue date mispricing of structured products but there is no large scale study of the ex-post returns earned by US structured product investors. This paper augments the current literature by analyzing the...

Exchange-traded products (ETPs) linked to futures contracts on the CBOE S&P 500 Volatility Index (VIX) have grown in volume and assets under management in recent years, in part because of their perceived potential to hedge against stock market losses. In this paper we study whether VIX-related...

Day-count conventions are a ubiquitous but often overlooked aspect of interest-bearing investments. While many market traded securities have adopted fixed or standard conventions, over-the-counter agreements such as interest rate swaps can and do use a wide variety of conventions, and many...

The financial interests of a trust's beneficiaries are often diametrically opposed and conflict among trust beneficiaries is common. Although applicable law requires that trustees adhere to lofty standards of “good faith” and “fair dealing” they must make tangible, specific decisions,...

We propose a robust portfolio optimization approach based on Value-at-Risk (VaR) adjusted Sharpe ratios. Traditional Sharpe ratio estimates based on limited historical return data are subject to estimation errors. Portfolio optimization based on traditional Sharpe ratios ignores this uncertainty...

Recently, a new type of variable annuity has been marketed to investors which is based on structured product-like investments instead of the mutual fund-like investments found in traditional variable annuities. Embedding a structured product into a variable annuity introduces substantial...

Principal Protected Absolute Return Barrier Notes (ARBNs) are structured products linked to an underlying security or an index. While these notes guarantee principal protection – return of face value – their upside potential is dependent on the level of the underlying security never falling...