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A note on a risk-return measure of hedging effectiveness
Satyanarayan, Sudhakar - In: The journal of futures markets 18 (1998) 7, pp. 867-870
Persistent link: https://www.econbiz.de/10001249184
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Cross hedging stock sector risk with index futures by considering the global equity systematic risk
Hsu, Wen Chung; Lee, Hsiang-Tai - In: International Journal of Financial Studies : open … 6 (2018) 2, pp. 1-17
nonelectronics subindex (NFNE) futures for cross hedging the price risk of stock sector indices traded on the Taiwan stock exchange … hedging strategy using only the NFNE futures. This shows the importance of hedging the global equity systematic risk of stock …. A state-dependent volatility spillover GARCH hedging strategy is developed to capture the regime switching global equity …
Persistent link: https://www.econbiz.de/10011883272
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Role of hedging on crypto returns predictability : a new habit-based explanation
Dunbar, Kwamie; Owusu-Amoako, Johnson - In: Finance research letters 55 (2023) 2, pp. 1-10
Persistent link: https://www.econbiz.de/10014473553
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Mathematische Grundlagen des modernen Portfolio-Managements
Auckenthaler, Christoph - 1991
Persistent link: https://www.econbiz.de/10000085068
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Bond futures and their options : more than the cheapest-to-deliver, quality options and margining
Henrard, Marc - In: The journal of fixed income 16 (2006) 2, pp. 62-75
Persistent link: https://www.econbiz.de/10003400089
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Anlage- und Portfolioeigenschaften von Commodities am Beispiel des GSCI
Rudolf, Markus - In: Finanzmarkt und Portfolio-Management 7 (1993) 3, pp. 339-359
Persistent link: https://www.econbiz.de/10001219147
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Bond Futures and Their Options : More than the Cheapest-to-Deliver; Margining and Quality Option
Henrard, Marc P. A. - 2012
on the futures risk.A formula for the delivery option and the convexity adjustment due to the daily margining is proposed …
Persistent link: https://www.econbiz.de/10013107119
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Can an equity structure dominate the risk-return profile of corporate bonds?
Nouvellon, Edouard; Pirotte, Hugues - In: The journal of asset management : a major new, … 22 (2021) 4, pp. 277-290
Persistent link: https://www.econbiz.de/10012581627
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Risk Measures for Investment Values and Returns Based on Skewed-Heavy Tailed Distributions : Analytical Derivations and Comparison
Theodossiou, Panayiotis - 2020
returns of financial and other assets. This feature makes it an appealing candidate for the computation of value at risk and … expected shortfall measures, used by regulators, investors, portfolio managers and actuaries to measure and manage the risk … value at risk, expected shortfall and downside risk measures for asset values and returns based on the SGT distribution. An …
Persistent link: https://www.econbiz.de/10014352371
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Have hedge funds solved the idiosyncratic volatility puzzle?
Bali, Turan G.; Weigert, Florian - 2018
While it is established that idiosyncratic volatility has a negative impact on the cross-section of future stock returns, the relationship between idiosyncratic volatility and future hedge fund returns is largely unexplored. We document that hedge funds with high idiosyncratic volatility...
Persistent link: https://www.econbiz.de/10011993511