๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

Hedging Performance And Basis Risk In Stock Index Futures

โœ Scribed by Figlewski S.

Book ID
127434333
Year
1984
Tongue
English
Weight
1 MB
Category
Library

No coin nor oath required. For personal study only.

๐Ÿ“œ SIMILAR VOLUMES

Systematic risk, dividend yield and the
Systematic risk, dividend yield and the hedging performance of stock index futures
โœ Robert Jennings; David Graham ๐Ÿ“‚ Article ๐Ÿ“… 1987 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 755 KB

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

Hedging in Futures and Options Markets w
Hedging in Futures and Options Markets with Basis Risk
โœ Olivier Mahul ๐Ÿ“‚ Article ๐Ÿ“… 2002 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 116 KB ๐Ÿ‘ 2 views

## Abstract This paper analyzes the hedging decisions for firms facing price and basis risk. Two conditions assumed in most models on optimal hedging are relaxed. Hence, (i) the spot price is not necessarily linear in both the settlement price and the basis risk and (ii) futures contracts and optio