Hedging of Portfolios and Transaction Costs

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F16%3A00091755" target="_blank" >RIV/00216224:14560/16:00091755 - 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
Hedging of Portfolios and Transaction Costs
Original language description
The aim of this paper is to decide whether to rebalance hedged portfolios often to reduce risk or to rebalance them less often to lower transaction costs. In this paper we use delta-hedging for portfolios consisting of warrants and shares. We focus on how 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 our research we achieved interesting results under the terms of transaction costs and different frequency of rebalancing portfolios. 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. The results are that you pay more money on transaction costs to reduce one percent of risk as the rebalancing is more frequent.
Czech name
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Czech description
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Publication year
2016
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
European Financial Systems 2016. Proceedings of the 13th International Scientific Conference
ISBN
9788021083080
ISSN
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e-ISSN
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Number of pages
9
Pages from-to
157-165
Publisher name
Masaryk University
Place of publication
Brno
Event location
Brno
Event date
Jan 1, 2016
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000385692200020

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