구조화 파생상품의 투자 효용 : 자동조기상환형 주가연계증권

목차 (Table of Contents)

• 요약
• Abstract
• Ⅰ. 서론
• Ⅱ. 자동조기상환형 주가연계증권
• Ⅲ. 연구모형
• 1. 포트폴리오 선택 모형
• 2. 실증분석방법론
• Ⅳ. 분석 결과
• 1. 표본자료
• 2. 최적자산배분결과
• V. 강건성(Robustness) 검증
• 1. 세부 발행구조 변화에 따른 영향
• 2. 수수료(발행, 판매, 운용마진)의 영향
• 3. 글로벌 금융위기 전후의 변화
• Ⅵ. 결론
• 참고문헌

참고문헌 (Reference)

1 이효섭, "한국 ELS/DLS 시장의 건전한 성장을 위한 방안" 자본시장연구원 2013

2 구본일, "주가연계예금(Equity Linked Deposit) 가치평가모형에 대한 실증 연구" 한국재무학회 20 (20): 35-76, 2007

3 강장구, "옵션시장에서 GARCH계열 모형들의 성과 비교에 관한 연구" 한국증권학회 38 (38): 137-176, 2009

4 최병욱, "옵션가격퍼즐 : KOSPI 200 옵션시장에서 풋옵션은 과대평가되어 있는가?" 한국파생상품학회 17 (17): 23-65, 2009

5 강병진, "옵션 투자의 효용-포트폴리오 관점" 한국금융학회 28 (28): 1-43, 2014

6 Ait-Sahalia, Y., "Variable Selection for Portfolio Choice" 56 (56): 1297-1351, 2001

7 Christie, A. A., "The Stochastic Behavior of Common Stock Variances-Value, Leverage and Interest Rate Effects" 10 (10): 407-432, 1982

8 Black, F., "The Pricing of Options and Corporate Liabilities" 81 (81): 637-654, 1973

9 Branger, N., "The Optimal Demand for Retail Derivatives" University of Muenster 2008

10 Duan, J., "The GARCH Option Pricing Model" 5 (5): 13-32, 1995

11 Henderson, B. J., "The Dark Side of Financial Innovation: A Case Study of the Pricing of a Retail Financial Product" 100 (100): 227-247, 2011

12 Black, F., "Studies of Stock Price Volatility Changes" 177-181, 1976

13 Roy, A. D., "Safety First and the Holding of Assets" 20 (20): 431-449, 1952

14 Telser, L. G., "Safety First and Hedging" 23 (23): 1-16, 1956

15 Breuer, W., "Retail Banking and Behavioral Financial Engineering: The Case of Structured Products" 31 (31): 827-844, 2007

16 Kahneman, D., "Prospect Theory: An Analysis of Decision under Risk" 47 (47): 263-292, 1979

17 Das, S., "Portfolio Optimization with Mental Accounts" 45 (45): 311-334, 2010

18 Das, S., "Options and Structured Products in Behavioral Portfolios" 37 (37): 137-153, 2013

19 Kang, B. J., "Option Implied Risk Preferences-An Extension to Wider Classes of Utility Functions" 9 (9): 180-198, 2006

20 Bliss, R., "Option Implied Risk Aversion Estimates" 59 (59): 407-446, 2004

21 Carr, P., "Optimal Positioning in Derivative Securities" 1 (1): 19-37, 2001

22 Glosten, L., "On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks" 48 (48): 1779-1801, 1993

23 변석준, "KOSPI 200 지수 옵션 시장의 변동성 스프레드와 위험회피도" 한국재무학회 20 (20): 97-126, 2007

24 Kang, B. J., "Information Content of Volatility Spreads" 30 (30): 533-558, 2010

25 Bollerslev, T., "Generalized Autoregressive Conditional Heteroskedasticity" 31 (31): 307-327, 1986

26 Corrado, C., "Estimating Expected Excess Returns Using Historical and Option Implied Volatility" 29 (29): 95-112, 2006

27 Rosenberg, J., "Empirical Pricing Kernels" 64 (64): 341-372, 2002

28 남경태, "ELS와 ELW의 발행이 기초자산의 거래량 및 변동성에 미치는 영향에 관한 실증연구" 한국파생상품학회 17 (17): 1-21, 2009

29 Liu, J., "Dynamic Derivatives Strategies" 69 (69): 401-430, 2003

30 Engle, R. F., "Autoregressive Conditional Heteroscedasticity and Estimates of Variance of United Kingdom Inflation" 50 (50): 987-1008, 1982

31 Haugh, M., "Asset Allocation and Derivatives" 1 (1): 45-72, 2001

32 Duan, J., "Approximating the GJR-GARCH and EGARCH Option Pricing Models Analytically" 9 : 1-29, 2006

33 Driessen, J., "An Empirical Portfolio Perspective on Option Pricing Anomalies" 11 (11): 561-603, 2007

34 Tversky, A., "Advances in Prospect Theory: Cumulative Representation of Uncertainty" 5 (5): 297-323, 1992

35 Bakshi, G., "A Theory of Volatility Spreads" 52 (52): 1945-1956, 2006

36 Kataoka, S., "A Stochastic Programming Model" 31 (31): 181-196, 1963