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
Risk-return hedging effectiveness measures for stock index futures
β Scribed by Mary Lindahl
- Publisher
- John Wiley and Sons
- Year
- 1991
- Tongue
- English
- Weight
- 549 KB
- Volume
- 11
- Category
- Article
- ISSN
- 0270-7314
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Under current rules, margin is very low or nonexistent since T-bills can often be put up as margin for institutional investors. 'The confidence level is found by taking 1 minus the probability given in the P > t column. ## DURATION AND EXPIRATION EFFECTS / 41 '"Linear trend regressions were also
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