Hedging of Portfolios and Transaction Costs

Kód výsledku v 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>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Hedging of Portfolios and Transaction Costs

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Hedging of Portfolios and Transaction Costs

Popis výsledku anglicky

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.

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

2016

Kód důvěrnosti údajů

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

Název statě ve sborníku

European Financial Systems 2016. Proceedings of the 13th International Scientific Conference

ISBN

9788021083080

ISSN

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e-ISSN

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Počet stran výsledku

9

Strana od-do

157-165

Název nakladatele

Masaryk University

Místo vydání

Brno

Místo konání akce

Brno

Datum konání akce

1. 1. 2016

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

000385692200020