{"entities":{"Q1719243":{"pageid":1729984,"ns":120,"title":"Item:Q1719243","lastrevid":72271347,"modified":"2026-04-14T03:46:46Z","type":"item","id":"Q1719243","labels":{"en":{"language":"en","value":"Hedging long-term exposures of a well-diversified portfolio with short-term stock index futures contracts"}},"descriptions":{"en":{"language":"en","value":"scientific article; zbMATH DE number 7017415"}},"aliases":{},"claims":{"P31":[{"mainsnak":{"snaktype":"value","property":"P31","hash":"fd5912e4dab4b881a8eb0eb27e7893fef55176ad","datavalue":{"value":{"entity-type":"item","numeric-id":56887,"id":"Q56887"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1719243$58FA3BBE-DA02-48F3-8E76-A970C51DBF1D","rank":"normal"}],"P159":[{"mainsnak":{"snaktype":"value","property":"P159","hash":"0be26cc86c23052ea55caeaaabd68f70c151d86d","datavalue":{"value":{"text":"Hedging long-term exposures of a well-diversified portfolio with short-term stock index futures contracts","language":"en"},"type":"monolingualtext"},"datatype":"monolingualtext"},"type":"statement","id":"Q1719243$5D284176-8D37-4F37-8BB7-99DD2FC87CD6","rank":"normal"}],"P225":[{"mainsnak":{"snaktype":"value","property":"P225","hash":"4a396d8cfd9f4f6e57773a2bf393af85f437135e","datavalue":{"value":"1407.91229","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1719243$EDFF024D-AAC6-4C1C-8A54-7BE48572490E","rank":"normal"}],"P27":[{"mainsnak":{"snaktype":"value","property":"P27","hash":"c91ed115f9b2fa997eb2057cc14598e833cddaa9","datavalue":{"value":"10.1155/2014/843240","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1719243$DE8C5D8C-4693-4362-9A70-9CD6E4DD953F","rank":"normal"}],"P16":[{"mainsnak":{"snaktype":"value","property":"P16","hash":"32892594ac91ca2af5ec3e62e7404665b8eb8886","datavalue":{"value":{"entity-type":"item","numeric-id":539273,"id":"Q539273"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1719243$3BD64925-9A72-4530-994F-4D2AE32D72BC","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P16","hash":"b9175a6731ab7f1d9e24d306e135485302cdaa1d","datavalue":{"value":{"entity-type":"item","numeric-id":512953,"id":"Q512953"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1719243$5D26BA37-796F-47D6-8F28-94C64F00CE5B","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P16","hash":"932706a5fb7ba2f8458bc10766ccef25043177d3","datavalue":{"value":{"entity-type":"item","numeric-id":1619650,"id":"Q1619650"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1719243$6E30A541-799C-4BFD-AEEE-091BC699F1FB","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P16","hash":"b0aa7fa16601ca8f9e311cfaca273373fdd5b7a7","datavalue":{"value":{"entity-type":"item","numeric-id":425541,"id":"Q425541"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1719243$83539986-AD18-4A7A-A6BD-B264EA6B9D8A","rank":"normal"}],"P200":[{"mainsnak":{"snaktype":"value","property":"P200","hash":"3dc97bc0aff607b9c22ce37ffa18b6de85001d90","datavalue":{"value":{"entity-type":"item","numeric-id":86199,"id":"Q86199"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1719243$A36C0B4F-C696-4EA5-9649-E211C11E440A","rank":"normal"}],"P28":[{"mainsnak":{"snaktype":"value","property":"P28","hash":"32a6dc046c0aa99508538df457dbadf7aa620337","datavalue":{"value":{"time":"+2019-02-08T00:00:00Z","timezone":0,"before":0,"after":0,"precision":11,"calendarmodel":"http://www.wikidata.org/entity/Q1985727"},"type":"time"},"datatype":"time"},"type":"statement","id":"Q1719243$EC75238B-C449-4F00-A910-EC615569207D","rank":"normal"}],"P1448":[{"mainsnak":{"snaktype":"value","property":"P1448","hash":"414587262cc3be1591de8a97264c63415d107cb2","datavalue":{"value":"Summary: It is difficult for passive portfolio strategy to manage the long-term exposure of a well-diversified portfolio because stock index futures contracts have a finite life limited by their maturity. In this paper, we investigate the problem of the rollover hedge strategy for the long-term exposure of a well-diversified portfolio. First, we consider the rollover hedge strategy for the well-diversified portfolio when the portfolio is not adjusted during the period. In order to obtain the optimal solution of the proposed model, the auxiliary models are constructed using the equivalent transformation technique. Moreover, dynamic programming is employed to derive the optimal positions of stock index futures contracts for the long-term exposure of the well-diversified portfolio. In addition, we extend the result to the case of the rollover hedge strategy with transaction costs and derive the optimal number of stock index futures contracts.","type":"string"},"datatype":"string"},"type":"statement","id":"Q1719243$04DE6D1D-E26C-4373-AD4B-BD5F69CEE27E","rank":"normal"}],"P226":[{"mainsnak":{"snaktype":"value","property":"P226","hash":"7f918b855cc4e1ef3c50dee94916276dca231342","datavalue":{"value":"91G10","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1719243$8F81F913-5991-4E95-9BD8-C0DAAC5DF920","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"82cd6ba3de809c77ad4ab5a51dd4d14c3b158a01","datavalue":{"value":"91G20","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1719243$2CEBBF33-EC59-4839-AE3E-1AC73D0A9E13","rank":"normal"}],"P1451":[{"mainsnak":{"snaktype":"value","property":"P1451","hash":"3d3e125139a79cbc6e645d000815233974d13890","datavalue":{"value":"7017415","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1719243$44D00FF8-8DF1-4607-B95A-E7E9322D45D3","rank":"normal"}],"P12":[{"mainsnak":{"snaktype":"value","property":"P12","hash":"09ad1eac013e8a815f4739bccbfef3fb656f10cc","datavalue":{"value":"Q59069945","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1719243$C61A08A5-2743-4928-8773-B0C777382D36","rank":"normal"}],"P1460":[{"mainsnak":{"snaktype":"value","property":"P1460","hash":"57f7fea50d2ce1b39b695c4a1313582eed405e38","datavalue":{"value":{"entity-type":"item","numeric-id":5976449,"id":"Q5976449"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1719243$6F545AE2-9AD0-4461-ADF5-E247095D9298","rank":"normal"}],"P205":[{"mainsnak":{"snaktype":"value","property":"P205","hash":"f07ab5cb76e76db903dbe9ce3fabc10e2074ccd7","datavalue":{"value":"https://doi.org/10.1155/2014/843240","type":"string"},"datatype":"url"},"type":"statement","id":"Q1719243$09CE8D6F-D646-4372-BDAC-09371433B60F","rank":"normal"}],"P388":[{"mainsnak":{"snaktype":"value","property":"P388","hash":"2c234f42dd9dd50192aa6bd66aee3e0425affb82","datavalue":{"value":"W2115262012","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1719243$24FA8FF7-F5CC-4626-82A7-7CEA4031198A","rank":"normal"}],"P223":[{"mainsnak":{"snaktype":"value","property":"P223","hash":"a4a14652510f97b94e9789b18c655896a013e048","datavalue":{"value":{"entity-type":"item","numeric-id":1025343,"id":"Q1025343"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1719243$F66EB00E-767F-451C-8596-FC617AFEEC8E","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"585991fa9a1af9d7157a3908e4bdd85276ec57b2","datavalue":{"value":{"entity-type":"item","numeric-id":1415629,"id":"Q1415629"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1719243$21E0F737-C742-40DB-A351-52048A480CED","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"9f924375e37484d5b349c31c84f117275c79ea20","datavalue":{"value":{"entity-type":"item","numeric-id":704076,"id":"Q704076"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1719243$9FF2928D-1D4F-43C4-935F-7AA150C1E16C","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"40ece3e1f2e55b7cbfb35923f6b0919a173112a3","datavalue":{"value":{"entity-type":"item","numeric-id":4687305,"id":"Q4687305"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1719243$9E7351A3-3F11-445E-BCBB-C1D1A46F959F","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"fdcad92ef78fdceebb0bc028018724d0302802b1","datavalue":{"value":{"entity-type":"item","numeric-id":5309004,"id":"Q5309004"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1719243$BFCB12D0-8E8A-48DA-AAB9-E7BBB367FC26","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"f9164e6b81e36f21a4c2bb7479639d33fb5000b8","datavalue":{"value":{"entity-type":"item","numeric-id":2482688,"id":"Q2482688"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1719243$EBE4EBD3-B038-4583-98AD-92DA48F6D19D","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"a9f4e86a2c40f67570f11d81b6b61ebb4544f7e5","datavalue":{"value":{"entity-type":"item","numeric-id":2707157,"id":"Q2707157"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1719243$88C3806D-C314-454F-9C69-5F7DA49074EC","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"d77eaad80d3e97e548f717edcec31e19b6439b17","datavalue":{"value":{"entity-type":"item","numeric-id":5971455,"id":"Q5971455"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1719243$019FF237-8325-4E14-9B73-E09F94BEE0A6","rank":"normal"}],"P1643":[{"mainsnak":{"snaktype":"value","property":"P1643","hash":"54a38811de9d30551b43c80c8ec51298c61d87ba","datavalue":{"value":{"entity-type":"item","numeric-id":4409033,"id":"Q4409033"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"634dcd27545dba735773549fef23c71d18e3d3c3","datavalue":{"value":{"amount":"+0.7021894454956055","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q1719243$325FBCD0-CD44-4111-AB2C-8CC2DB6D435E","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"09d91c6853c53a487a5457c679d005900c6efbab","datavalue":{"value":{"entity-type":"item","numeric-id":3132143,"id":"Q3132143"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"60c4832d44a1b251cb9afc6cb63a462dcbc69560","datavalue":{"value":{"amount":"+0.7012158632278442","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q1719243$FEFE6BF2-BE13-4A52-860E-35D79218485F","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"86e6abd532215a7727c4aef096c4b6326083ccba","datavalue":{"value":{"entity-type":"item","numeric-id":3537907,"id":"Q3537907"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"f6b061c7d6c3597114d89ed2164502a93935c460","datavalue":{"value":{"amount":"+0.6887515187263489","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q1719243$603B3370-A6B2-4152-A82E-3AC90AFEF7B3","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"21da4c8b00103a1c9b3eed5e277246c2cb61f217","datavalue":{"value":{"entity-type":"item","numeric-id":5388682,"id":"Q5388682"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"bdaface199596cd0a907ceacda28e18474c037bf","datavalue":{"value":{"amount":"+0.6840161085128784","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q1719243$1FD9603F-F5DD-432E-A8A0-E16A2A1D3214","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"04330c524b8a1b495b9bdebb05d99ac0af288110","datavalue":{"value":{"entity-type":"item","numeric-id":1774550,"id":"Q1774550"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"35f4558aba24f69bd83cae6e99b4da374c37c901","datavalue":{"value":{"amount":"+0.6785897016525269","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q1719243$C2309171-84F7-43C8-9F97-98C3E10AB805","rank":"normal"}],"P163":[{"mainsnak":{"snaktype":"value","property":"P163","hash":"daf5f856a5d861312ad309ab567540337a5f61d6","datavalue":{"value":{"entity-type":"item","numeric-id":57050,"id":"Q57050"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1719243$B938F782-64E4-403D-AAAD-D9FD984841A9","rank":"normal"}]},"sitelinks":{"mardi":{"site":"mardi","title":"Hedging long-term exposures of a well-diversified portfolio with short-term stock index futures contracts","badges":[],"url":"https://portal.mardi4nfdi.de/wiki/Hedging_long-term_exposures_of_a_well-diversified_portfolio_with_short-term_stock_index_futures_contracts"}}}}}