How often rebalance delta-hedged portfolios?

Kód výsledku v 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>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

How often rebalance delta-hedged portfolios?

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

How often rebalance delta-hedged portfolios?

Popis výsledku anglicky

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.

Druh

D - Stať ve sborníku

CEP obor

AE - Řízení, správa a administrativa

OECD FORD obor

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Projekt

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Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2015

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

7th International Conference Economic Challanges in Enlarged Europe

ISBN

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ISSN

2382-6797

e-ISSN

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Počet stran výsledku

9

Strana od-do

1-9

Název nakladatele

Tallinn University of Technology

Místo vydání

Tallinn

Místo konání akce

Tallinn

Datum konání akce

1. 1. 2015

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

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