e use random sampling techniques to form portfolios of common stocks so W that the portfolios differ in systematic risk and dividend yield. Using three hedge strategies (naive, beta and minimum-variance), we add short positions of the S&P 500 Stock Index futures contract to each equity portfolio. Ov
Determination of stock closing prices and hedging performance with stock indices futures
โ Scribed by Hsiu-Chuan Lee; Cheng-Yi Chien; Tzu-Hsiang Liao
- Book ID
- 110936636
- Publisher
- John Wiley and Sons
- Year
- 2009
- Tongue
- English
- Weight
- 641 KB
- Volume
- 49
- Category
- Article
- ISSN
- 0810-5391
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
ost empirical work and empirically oriented illustrations dealing with M the hedging effectiveness of futures contracts utilize either one of two approaches, namely: Risk minimization or payoff maximization. In the first approach, hedging is perceived as a combination of a futures position with an e
E risk and returns has attracted much attention from academics and practitioners. Three benefits of using futures are usually identified: Speculation, through which portfolio managers hope to profit by buying or selling contracts; arbitrage, through which managers take advantage of price inconsisten