A reexamination of portfolio insurance: the use of index put options
Article Abstract:
Portfolio managers can use index put options for the portfolio insurance of a wide range of portfolios. Being relatively inexpensive, these insurance strategies satisfy portfolio insurance needs and can be designed using FLEX options by the Chicago Board Options Exchange Inc. A model that can be used in designing the appropriate contract terms such as strike price and contract size is presented. An empirical test of index options as insurance strategies showed that these perform according to their purpose, providing guarantee to the required floor value in all cases examined.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 1996
User Contributions:
Comment about this article or add new information about this topic:
Hedging short-term interest risk under time-varying distributions
Article Abstract:
A study was conducted to examine the performance of a dynamic hedging strategy for debt portfolios using an autoregressive conditional heteroscedasticity (ARCH) model. The ARCH is proposed as an alternative to the minimum-variance approach and dollar-equivalency approach in hedging debt portfolios against interest rate exposure. The results show that the ARCH model is an appropriate hedging strategy for debt portfolios.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 1995
User Contributions:
Comment about this article or add new information about this topic:
Multi-period hedge ratios for a multi-asset portfolio when accounting for returns co-movement
Article Abstract:
A model that accounts for returns dependency and heterogeneous investment horizons in the selection of optimal hedge ratios of a multi-asset portfolio is presented. The model is more effective than a multivariate-GARCH model for hedging raw returns and their short-term components.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2008
User Contributions:
Comment about this article or add new information about this topic:
- Abstracts: Innovation, appropriability, and the underpricing of initial public offerings. Effects of social capital and power on surviving transformational change: the case of initial public offerings
- Abstracts: The interaction between decision and control problems and the value of information. Interacting supply chain distortions: the pricing of internal transfers and external procurement
- Abstracts: An analysis of decentralized collection and processing of end-of-life products. Exploring retailers' sensitivity to local sustainability policies
- Abstracts: The evolving role of semiconductor consortia in the United States and Japan. The drivers of technology licensing: an industry comparison
- Abstracts: Cementing relationships. Keep it real. Framing the landscape