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, the hedging activity that requires a variance determined hedge ratio is an important component of the success of a …
Persistent link: https://www.econbiz.de/10013138666
We propose a nonparametric method for estimating the pricing formula of a derivative asset using learning networks … the practical relevance of our network pricing approach, we apply it to the pricing and delta-hedging of Samp;P 500 …
Persistent link: https://www.econbiz.de/10012786270
seldom sufficient and always expensive to hold. In this paper we argue that adding richer hedging instruments to the … point with a simple quantitative hedging model, where optimally used options and futures on the S&P100's implied volatility …
Persistent link: https://www.econbiz.de/10013222654
risks. Portfolios hedging macro uncertainty have historically earned zero or even significantly positive returns, while …
Persistent link: https://www.econbiz.de/10013224964
hedging approach can eliminate nearly 90 percent of the tracking error of more conventional inflation hedging strategies. We … also find that long-short positions in equities play a dominant role in the effective hedging of inflation risk over …
Persistent link: https://www.econbiz.de/10013105462
, but not at long horizons. At horizons of several years, complete hedging not only does not lower return variance, it … apparent causes, and investigates their implications for hedging practice …
Persistent link: https://www.econbiz.de/10012787885
international diversification is still valuable with regime changes. Currency hedging imparts further benefit. The costs of ignoring … the regimes are small for moderate levels of risk aversion, and the intertemporal hedging demands induced by time …
Persistent link: https://www.econbiz.de/10012774819
In the finance literature, a common practice is to create characteristic portfolios by sorting on characteristics associated with average returns. We show that the resulting portfolios are likely to capture not only the priced risk associated with the characteristic, but also unpriced risk. We...
Persistent link: https://www.econbiz.de/10012931218
In the last ten to fifteen years financial derivative securities have become an important, and controversial, product …, the difficulties with accurately reporting timely information concerning the value of firms' derivative positions, and the …
Persistent link: https://www.econbiz.de/10013224189
A great deal of effort and ingenuity has been addressed to patching holes in the income tax attributable to realization accounting. A classic instance of the problem is the headachescreated by capital gains, whereby the taxpayer can choose to postpone recognition of gain and accelerate...
Persistent link: https://www.econbiz.de/10013237937