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The present book provides an empirical analysis of equity indices and exchange traded funds (ETFs), i.e. tradable versions of traditional equity indices. We compare the performance of minimum variance (MV) hedge ratios applied to equity indices and propose a performance measure that takes into account the conditional variance of the hedged portfolio. We analyse the hedging and cross hedging of ETFs and assess the results of applying distinct MV models to the higher moments of the returns distribution of the hedged portfolio.Finally we investigate the possibility of using the probability output of a Markov Switching model to develop trading rules for ETFs. The explanatory variable used is the volatility index from the corresponding equity market and the trading rule is based on the volatility feedback assumption with a positive relationship between return and volatility.
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- PublisherVDM Verlag Dr. Müller
- Publication date2009
- ISBN 10 3639194780
- ISBN 13 9783639194784
- BindingPaperback
- Number of pages176
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Equity Indexing
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VDM Verlag Dr. Müller
(2009)
ISBN 10: 3639194780
ISBN 13: 9783639194784
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Book Description Kartoniert / Broschiert. Condition: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Autor/Autorin: Barbosa AndrezaAndreza has a PhD in Risk Management from ICMA Centre. She currently works as Risk Officer at J.P.Morgan, London and also worked for the Brazilian Securities Commission in Rio de Janeiro, Brazil. She has an MSc Degr. Seller Inventory # 4965998
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Equity Indexing
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VDM Verlag Dr. Müller
(2009)
ISBN 10: 3639194780
ISBN 13: 9783639194784
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Book Description Taschenbuch. Condition: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -The present book provides an empirical analysis of equity indices and exchange traded funds (ETFs), i.e. tradable versions of traditional equity indices. We compare the performance of minimum variance (MV) hedge ratios applied to equity indices and propose a performance measure that takes into account the conditional variance of the hedged portfolio. We analyse the hedging and cross hedging of ETFs and assess the results of applying distinct MV models to the higher moments of the returns distribution of the hedged portfolio.Finally we investigate the possibility of using the probability output of a Markov Switching model to develop trading rules for ETFs. The explanatory variable used is the volatility index from the corresponding equity market and the trading rule is based on the volatility feedback assumption with a positive relationship between return and volatility. 216 pp. Englisch. Seller Inventory # 9783639194784
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Equity Indexing : Hedging and Trading Stock Market Indices and Exchange Traded Funds
Published by
VDM Verlag Dr. Müller
(2009)
ISBN 10: 3639194780
ISBN 13: 9783639194784
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Taschenbuch
Quantity: 2
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Book Description Taschenbuch. Condition: Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - The present book provides an empirical analysis of equity indices and exchange traded funds (ETFs), i.e. tradable versions of traditional equity indices. We compare the performance of minimum variance (MV) hedge ratios applied to equity indices and propose a performance measure that takes into account the conditional variance of the hedged portfolio. We analyse the hedging and cross hedging of ETFs and assess the results of applying distinct MV models to the higher moments of the returns distribution of the hedged portfolio.Finally we investigate the possibility of using the probability output of a Markov Switching model to develop trading rules for ETFs. The explanatory variable used is the volatility index from the corresponding equity market and the trading rule is based on the volatility feedback assumption with a positive relationship between return and volatility. Seller Inventory # 9783639194784
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Book Description Paperback. Condition: Brand New. 176 pages. 8.66x5.91x0.40 inches. In Stock. Seller Inventory # zk3639194780
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