Vol. 10 No. 20 (2015)

Artículos

an investment and hedging strategy through the combination of structured notes

Published 2015-01-05

  • Isabel Patricia Aguilar-Juárez
    • ,
  • Francisco Venegas-Martínez

Isabel Patricia Aguilar-Juárez
Universidad Autónoma de México, Facultad de Ingeniería

Francisco Venegas-Martínez
Instituto Politécnico Nacional,Escuela Superior de Economía

Abstract

This paper is aimed at developing an investment strategy consisting of a portfolio of structured notes. The portfolio considers two dimensions: first, a vertical dimension consisting of a combination of structured notes with the same duration to ensure predictable cash flow at maturity of this struc- ture, and a horizontal dimension considering the integration into the final structure of a new structured note whose term begins upon the expiration of the vertical structure. This structure allows updating the price of the underlying asset during the term of the proposed structure, as well as extending the term of the investment, ensuring the initial capital and offering the possibility of higher returns than the market with low risk. Finally, for illustrative purposes it is developed in detail an application of the proposal and compared with other alternatives available on the market.

 

Keywords

structured notes, private investment, portfolios

PDF (Spanish)

References

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