The Characteristics of the Investment through the Airbag Certificates
The Characteristics of the Investment through the Airbag Certificates

Author(s): Peter Mokrička
Subject(s): Business Economy / Management, Financial Markets
Published by: Masarykova univerzita nakladatelství
Keywords: return; risk; airbag certificate; investment;
Summary/Abstract: The aim of this paper is to examine the change in the fundamental investment characteristics, especially a change in the expected return and the risk of investment, provided that the investor will use the selected certificate with a partial guarantee on invested capital instead of a direct investment in the underlying asset. First will be selected an underlying asset. It will be then modeled the development of its value by Monte Carlo simulation. This development also affects the development of the value of alternative investments through a certificate. The certificate will be divided into components from which it is comprised, and these will be priced. Then it will be statistically evaluated and assessed the change in investment characteristics compared with investment characteristics of direct investment in the underlying asset. Finally, discussions will be carried out and formulated recommendations for the retail investor.

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