Analysis-forecast of expected return and risk on an equity-linked note : Indeksobligasjon Nordea norske aksjer 11 2009/2013

Abstract

The main topic for the article is analyzing return and risk of an equity-linked note. The analysis will concentrate on a specific product whose return is compounded by zero-coupon bond and return on a risky portfolio with 7 underlying stocks. First I represent the relative and necessary theories and models for taking Monte Carlo simulation to simulate underlying stock price paths and then compute the expected return on structured products; and then I will analyze the return-risk by taking different risk measures analysis for return on the specific product. Meanwhile the article will give the inspiration to the investors on how to choosing an optimal portfolio by presenting the performance evaluating with different portfolio constructions. I appreciate that I got much help from Professor Valeri Zakamouline, for blazing the way in constructing this article for me. Although the research work is intrinsically to be a progress from unknown to known, I wish it can give an effective summery to the knowledge I got and proper end to my master degree studying.