The Optimal Demand for Retail Derivatives

Nicole Branger, Beate Breuer
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引用次数: 35

Abstract

It has been shown that investors can benefit from including derivatives into their portfolios. For retail investors, however, a direct investment in derivatives is often too complicated. Investment certificates offer a potential solution to this problem. We analyze if retail investors who buy and hold their portfolio for one year can indeed benefit from an investment in these certificates. We use a model with stochastic volatility and jumps calibrated to the German stock market index DAX. We find that the benefit of investing in typical retail products is equivalent to an annualized risk-free excess return of at most 35 basis points for a CRRA investor with a low risk aversion. If we take transaction costs into account, this number reduces to at most 14~bp. In terms of the types of contracts, we find that discount certificates perform best, while more sophisticated certificates, in particular those with knock-in or knock-out features, should often not be held by investors at all. Therefore, standard preferences cannot explain the large observed demand for investment certificates.
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零售衍生品的最优需求
事实证明,投资者可以从将衍生品纳入其投资组合中获益。然而,对于散户投资者来说,直接投资衍生品往往过于复杂。投资证书为这个问题提供了一个潜在的解决方案。我们分析购买并持有其投资组合一年的散户投资者是否确实可以从这些证书的投资中受益。我们使用一个随机波动和跳跃的模型校准到德国股票市场指数DAX。我们发现,对于低风险厌恶的CRRA投资者来说,投资典型零售产品的收益相当于最多35个基点的年化无风险超额回报。如果我们把交易成本考虑在内,这个数字最多减少到14~bp。就合约类型而言,我们发现折扣证书表现最好,而更复杂的证书,特别是那些具有淘汰或淘汰特征的证书,往往不应由投资者持有。因此,标准偏好不能解释对投资凭证的巨大需求。
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