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A natural disasters index
Mahanama, Thilini; Shirvani, Abootaleb; Račev, Svetlozar T. - In: Environmental economics and policy studies : the … 24 (2022) 2, pp. 263-284
Persistent link: https://www.econbiz.de/10013199401
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Das Management von Aktienkursrisiken mit Derivaten
Zimmermann, Heinz - In: Risikosteuerung von Derivaten, (pp. 5-85). 1996
Persistent link: https://www.econbiz.de/10001318384
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Equity and CDS sector indices : dynamic models and risk hedging
Caporin, Massimiliano - In: The North American journal of economics and finance : a … 25 (2013), pp. 261-275
Persistent link: https://www.econbiz.de/10009779255
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Higher-order Omega : a performance index with a decision-theoretic foundation
Bi, Hongwei; Huang, Rachel J.; Tzeng, Larry Y.; Zhu, Wei - In: Journal of banking & finance 100 (2019), pp. 43-57
Persistent link: https://www.econbiz.de/10012162443
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Hedging time-varying downside risk
Lien, Da-hsiang Donald - In: The journal of futures markets 18 (1998) 6, pp. 705-722
Persistent link: https://www.econbiz.de/10001249191
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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
This article investigates the effectiveness of TAIEX (Taiwan Stock Exchange) futures, Taiwan 50 futures, and nonfinance nonelectronics subindex (NFNE) futures for cross hedging the price risk of stock sector indices traded on the Taiwan stock exchange. A state-dependent volatility spillover...
Persistent link: https://www.econbiz.de/10011883272
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Shortfall-Risiken beim Hedging mit DAX-Futures
Bamberg, Günter - 1997
Persistent link: https://www.econbiz.de/10013453110
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Risk Arbitrage Opportunities for Stock Index Options
Post, Thierry - 2019
developed which completely characterizes all risk arbitrage opportunities which arise if a well-behaved pricing kernel does not … exist. The Stochastic Arbitrage system can account for market imperfections in the form of transactions costs and general … portfolio restrictions. An active trading strategy based on the Stochastic Arbitrage system for front-month S&P500 stock index …
Persistent link: https://www.econbiz.de/10012899380
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On the effectiveness of stock index futures for tail risk protection
Zouari, Hammadi - In: International journal of economics and financial issues … 12 (2022) 3, pp. 38-52
Persistent link: https://www.econbiz.de/10013259361