Jürgen Vandenbroucke

TL;DR: In this article, two alternative rebalancing rules that aim to pick up excess return subject to a borrowing constraint are explored. But they do not consider real-life trading conditions, and the simulation results confirm that the borrowing constraint lowers average returns.

TL;DR: In this paper, the authors developed a break-even analysis on the presence of structured products in the portfolio based on cumulative prospect theory and provided additional insights into the behavioral conditions and required return expectations that make investors buy into expensive structured products with uncertain rewards.

TL;DR: In this article, the authors propose a logical and consistent framework to refine this dichotomy and identify a limited number of product types amongst the various kinds of structured investments, which is proposed as the basis of a complexity indicator.

TL;DR: In this article, a qualitative description of an advisory or discretionary investment process that manages the emotional aspect of investing is given, where the adaptive portfolios represent a client centric combination of products that lift the power of diversification to a higher level and ultimately contributes to long term buy-and-hold investor behavior.

TL;DR: In this article, the traditional net present value rule and the commonly known Dixit-Pindyck approach are nested in the same general real option model and hence produce optimal investment decisions only in their specific scenario.