Abstract
In the recent recession market, we are in the objective to invest into secured product in a time horizon of one or two years. The objective is to maintain at least the capital invested if the market still goes down and to be able to benefit part of the market return when the market goes up. That’s why we choose the simple structured product named guaranteed capital protection as part of the assets for our optimal portfolio. The aim of this document is to provide an answer to the question: what is the proportion of our portfolio we should invest into the capital protection? The document is organized in as follows. We first describe the standard assets proposed to be used in the portfolio; we then describe capital protection product. We describe how to obtain the result. We interpret the results for the optimal portfolio with structured product. Comparison with the portfolio which has only assets is also provided.
Published Version
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