COMPARATIVE ANALYSIS OF STRATEGIES FOR HEDGING A SECURITIES PORTFOLIO WITH FUTURES

COMPARATIVE ANALYSIS OF STRATEGIES FOR HEDGING A SECURITIES PORTFOLIO WITH FUTURES

Hedging is one of the most popular strategies of the market risk management. The main purpose of hedging is to reduce the volatility (or variability) of the yield on the portfolio composed of spot assets and hedging tools. The hedging tools may consist of futures contracts, options and off-exchange...

Full description

Saved in:
Bibliographic Details
Main Authors: V. V. Lakshina, K. A. Lapshina
Format: Article
Language:Russian
Published: Government of the Russian Federation, Financial University 2017-10-01
Series:Финансы: теория и практика
Subjects:
stock market
hedging
futures
least squares method
conditional heteroscedasticity
hedge ratio
hedge effectiveness
Online Access:https://financetp.fa.ru/jour/article/view/292
Tags: Add Tag
No Tags, Be the first to tag this record!

Similar Items

Similar Items