-only portfolios 3) We study the cross-sectional volatility (CSV) of South African equity markets and show that it is a good measure of …

equity indices (US, Japan, Europe, UK and Canada), and examine the historical performance of currency hedging strategies in …. Furthermore, we show that the risk reduction achieved historically by following an easily implementable dynamic currency hedging …-risk hedging strategies, we find that using certain hedging instruments can slightly reduce total portfolio returns. However, in …

process for creating a timed hedging strategy and then backtest how effective each of the proposed indicators are as hedge … timing signals under real world market conditions. A total of 36 hedge timing indicators are tested using five common hedging … structures. Detailed results and discussion are provided for each hedging structure. In general, the long-term timed hedge …

-to-date market data. Arguably, the most important variable in the valuation of embedded equity derivatives is implied volatility …. However, accurate long-term volatility estimation is difficult because of a general lack of tradable, liquid medium- and long … a comprehensive, critical evaluation of the long-term volatility models most commonly used in practice, encompassing …

currency hedge in the presence of non-constant volatility and correlation. It is shown that implementation of the dynamic …

which succeeds with high probability. -- Hedging ; superhedging ; Neyman Pearson lemma ; stochastic volatility ; value at … study the question what an investor can do who is unwilling to spend that much, and who is ready to use a hedging strategy …

hedging errors. In the empirical application, we synthesize the prices of the variance contract on S&P 500 index over the …

-implied delta and delta-gamma hedging do not achieve minimum variance in the presence of price-volatility correlation, and these …Options can be dynamically replicated using model-free Greeks extracted from the volatility smile. However, smile … replication with volatility risk management. Large-scale evidence on S&P 500 index options indicates that smile-implied delta …