... to full attribution to the original publication and authors. The full terms of this licence maybe seen at http://creativecommons.org/licences/by/4.0/legalcode . Kaun Y. Lee can be contacted at: klee@cau.ac.kr Dynamic and static asset allocation Shortfall risk Expected rate of return...

... on Conditional Value at Risk (CVaR) using stocks portfolio and futures. Due to the non-symmetric bimodal distribution for return of ELS, which comes from the Knock-In (KI) property inherent in step down ELS structure, and inherent shortfall risk in the ELS structure, a local delta hedging strategy has a limit...

...Hyuncheul Lim; Youngsoo Choi In this paper we analyze the shortfall risk implied in the auto call step down equity linked securities (ELS) based on two underlying assets, which is a major product of the rapidly growing ELS market as the low interest rate environment continues. And we also present...