the portfolio holds common stocks amounts to an asset swap. Such an asset swap does not increase national saving, wealth …. The asset swap is deemed successful if the stock portfolio generates sufficient cash to pay off the interest and principal …

This paper studies the effect of variance swap in hedging volatility risk under the mean-variance criterion. We … financial market is complete and contains three primitive assets: a bank account, a stock and a variance swap, where the … variance swap can be used to hedge against the volatility risk. In the second problem, only the bank account and the stock can …