How often rebalance delta-hedged portfolios?

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F15%3A00089177" target="_blank" >RIV/00216224:14560/15:00089177 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
How often rebalance delta-hedged portfolios?
Original language description
The aim of this paper is to show how delta-hedging in relation to portfolio rebalancing works on real financial markets with an emphasis on situation on European stock exchanges. The motivation for this research is to gain knowledge for investing in real markets more effectively than just by using theoretical methods. In previous research we have found out that during the process of delta-hedging with no rebalancing 70 percent of risk may be avoided when we omit transaction costs; in current research we achieved other interesting results under the terms of transaction costs and different frequency of rebalancing which were added to the model. We constructed 30 portfolios consisting of American style plain vanilla call warrants and correspondent amount of underlying shares. We compared one week and two weeks period of rebalancing with no rebalancing.
Czech name
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Czech description
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Publication year
2015
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
7th International Conference Economic Challanges in Enlarged Europe
ISBN
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ISSN
2382-6797
e-ISSN
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Number of pages
9
Pages from-to
1-9
Publisher name
Tallinn University of Technology
Place of publication
Tallinn
Event location
Tallinn
Event date
Jan 1, 2015
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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