On the use of contingent claims in portfolio selection problems

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F14%3A86092306" target="_blank" >RIV/61989100:27510/14:86092306 - 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
On the use of contingent claims in portfolio selection problems
Original language description
In this paper we propose some portfolio selection models with contingent claims to invest either in the fixed income market or in the stock option market. Firstly, we describe a possible solution of the portfolio choice problem in the fixed income markettaking into account the default risk. With this purpose, we consider CDSs contracts to hedge the default risk of investments in bonds. Secondly, we use European options in two distinct portfolio problems: in a reward-risk portfolio framework, to hedge the underlying portfolio risk of some stock indexes. Since we use a large number of trading European option written on principal international stock indexes, we discuss how to reduce the dimensionality of the large-scale portfolio problems taking into account the liquidity of the options. Finally, we propose an ex post empirical analysis of different portfolio models with contingent claims.
Czech name
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Czech description
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Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
AH - Economics
OECD FORD branch
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Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2014
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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