Compound Cross Hedge Strategy for Securities Portfolios with Stock Index Futures and Stock Index Option

被引：0

作者：

Dai Hongxia ^{[1
]}

Lin Xiangyou ^{[1
]}

机构：

[1] SW Univ Finance & Econ, Chengdu, Peoples R China

来源：

EBM 2010: INTERNATIONAL CONFERENCE ON ENGINEERING AND BUSINESS MANAGEMENT, VOLS 1-8 | 2010年

关键词：

Securities Portfolios; Stock Index; Stock Index Futures; Stock Index Option; Compound Cross Hedge Strategy;

D O I：

暂无

中图分类号：

C93 [管理学];

学科分类号：

12 ; 1201 ; 1202 ; 120202 ;

摘要：

The stock index futures or the stock index option hedging for securities portfolios is cross hedge. And the stock index futures and the stock index option hedging for the stock index is compound hedge, the stock index futures and the stock index option hedging for securities portfolios is compound cross hedge. The compound cross hedge with stock index futures and the stock index option includes two steps: First, taking the stock index as the hedge object, determine the optimal hedge ratio of stock index futures and stock index option; Second, taking the securities portfolios as the hedge object, make the adjustment to the optimal hedge ratios of stock index futures and the stock index option, determine the new optimal hedge ratios.

引用

页码：3814 / +

页数：2