The Portfolio Selection for a Hedging Strategy

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F17%3A00097630" target="_blank" >RIV/00216224:14560/17:00097630 - isvavai.cz</a>

Výsledek na webu

<a href="http://iises.net/proceedings/7th-economics-finance-conference-tel-aviv-israel/table-of-content?cid=45&iid=001&rid=7430" target="_blank" >http://iises.net/proceedings/7th-economics-finance-conference-tel-aviv-israel/table-of-content?cid=45&iid=001&rid=7430</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.20472/EFC.2017.007.001" target="_blank" >10.20472/EFC.2017.007.001</a>

Jazyk výsledku

angličtina

Název v původním jazyce

The Portfolio Selection for a Hedging Strategy

Popis výsledku v původním jazyce

Every trader or investor who holds financial instruments has different approach to a portfolio selection. In this paper we focus on a delta-gamma-hedging strategy using an alternative protective collar strategy for shares and warrants approach. We compose a portfolio constiting of shares and warrants. We choose them based on four criteria - liquidity, volatility, correlation and amount. We get nine shares which meet our criteria and warrants which have these shares as underlying assets, the tenth instrument is gold and warrant on gold, representing defensive asset. We make portfolios delta-gamma-neutral and follow their performance in one month period starting in October 2016. The hypothesis stated is that for decreasing shares our strategy will generate above-average profit. In the observed period our strategy resulted in 1.21% profit, while benchmark was -0.7% in loss. That makes approximately 14% profit per year, even though only seven shares were decreasing while the others were increasing in the observed period. We consider this strategy to be successful. However, it is suitable for bearish trend on capital markets and we ommited taxes and spreads.

Název v anglickém jazyce

The Portfolio Selection for a Hedging Strategy

Popis výsledku anglicky

Every trader or investor who holds financial instruments has different approach to a portfolio selection. In this paper we focus on a delta-gamma-hedging strategy using an alternative protective collar strategy for shares and warrants approach. We compose a portfolio constiting of shares and warrants. We choose them based on four criteria - liquidity, volatility, correlation and amount. We get nine shares which meet our criteria and warrants which have these shares as underlying assets, the tenth instrument is gold and warrant on gold, representing defensive asset. We make portfolios delta-gamma-neutral and follow their performance in one month period starting in October 2016. The hypothesis stated is that for decreasing shares our strategy will generate above-average profit. In the observed period our strategy resulted in 1.21% profit, while benchmark was -0.7% in loss. That makes approximately 14% profit per year, even though only seven shares were decreasing while the others were increasing in the observed period. We consider this strategy to be successful. However, it is suitable for bearish trend on capital markets and we ommited taxes and spreads.

Druh

D - Stať ve sborníku

CEP obor

—

OECD FORD obor

50600 - Political science

Projekt

—

Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2017

Kód důvěrnosti údajů

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

Název statě ve sborníku

Proceedings of the 7th Economics & Finance Conference

ISBN

9788087927328

ISSN

2336-6044

e-ISSN

—

Počet stran výsledku

8

Strana od-do

1-8

Název nakladatele

International Institute of Social and Economic Sciences

Místo vydání

Tel Aviv, Israel

Místo konání akce

Tel Aviv

Datum konání akce

1. 1. 2017

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

000426854900001