概率表现场景更好:无套利市场隐含分布中高矩信息的有效披露

M. Minenna
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引用次数: 0

摘要

本文提出了一种方法,通过一个易于理解的无套利概率表来表示包装零售和保险投资产品(PRIIPS)的绩效情景。通过矩量方法进行统计重建,可以通过确定所需的最小描述性矩量来捕获PRIIP市场隐含分布的主要属性。然后,提出了一个合理的分位数划分,可以有效地向散户投资者表示具有非线性收益特征的结构化产品的复杂分布。
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Probability Performance Scenarios Are Better: An Efficient Disclosure of Higher Moments Information From No-Arbitrage Market Implied Distributions
The present work proposes a methodology for the representation of performance scenario in Packaged Retail and Insurance-based Investment Products (PRIIPS), by the means of a no-arbitrage probability table easy to understand for the retail investor. A statistical reconstruction via the method of moments allows to capture the main properties of the PRIIP market implied distribution by identifying the minimum number of descriptive moments needed. A reasonable quantile partition that is effective for representing to the retail investor the complex distributions of structured products characterized by non-linear pay-offs is then proposed.
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