{"title":"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","authors":"M. Minenna","doi":"10.2139/ssrn.3709849","DOIUrl":null,"url":null,"abstract":"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.","PeriodicalId":209192,"journal":{"name":"ERN: Asset Pricing Models (Topic)","volume":null,"pages":null},"PeriodicalIF":0.0000,"publicationDate":"2020-10-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Probability Performance Scenarios Are Better: An Efficient Disclosure of Higher Moments Information From No-Arbitrage Market Implied Distributions\",\"authors\":\"M. Minenna\",\"doi\":\"10.2139/ssrn.3709849\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"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.\",\"PeriodicalId\":209192,\"journal\":{\"name\":\"ERN: Asset Pricing Models (Topic)\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2020-10-02\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"ERN: Asset Pricing Models (Topic)\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.3709849\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"ERN: Asset Pricing Models (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3709849","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
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.