Hedging long-term exposures of a well-diversified portfolio with short-term stock index futures contracts

DOI10.1155/2014/843240zbMath1407.91229OpenAlexW2115262012WikidataQ59069945 ScholiaQ59069945MaRDI QIDQ1719243

Yufang Liu, Wei-Guo Zhang, Rong-Da Chen, Jun-Hui Fu

Publication date: 8 February 2019

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2014/843240

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Related Items (1)

Dynamic hedging based on fractional order stochastic model with memory effect

Cites Work

• Hedging effectiveness of stock index futures
• Optimal dynamic hedging via copula-threshold-GARCH models
• Dynamic hedging effectiveness in South Korean index futures and the impact of the Asian financial crisis
• On a class of optimization problems emerging when hedging with short term futures contracts
• Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
• Optimal Hedge Ratio Estimation and Effectiveness Using ARCD
• Adjusting stacked-hedge ratios for stochastic convenience yield: a minimum variance approach
• On noninferior performance index vectors

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