Portfolio insurance using traded options
Autor(a) principal: | |
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Data de Publicação: | 2001 |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | RAC. Revista de Administração Contemporânea (Online) |
Texto Completo: | http://old.scielo.br/scielo.php?script=sci_arttext&pid=S1415-65552001000300010 |
Resumo: | Literature concerning the institutional use of options indicates that the main purpose of option trading is to provide investors with the opportunity to create return distributions previously unavailable, considering that options provide the means to manipulate portfolio returns. In such a context, this study intends to analyse the returns of insured portfolios generated by hedging strategies on underlying stock portfolios. Because dynamic hedging is too expensive, we have hedged the stock positions discretely, in a way that the positions were revised only when the daily hedge ratio has changed more than a specific amount. The results, provided by these hedging schemes, indicate that a small rise of the standard deviation seems to be largely compensated with the higher average returns. In fact, such strategies seem to be highly influenced by the price movements of underlying stocks, requiring more frequent (sparse) adjustments in periods of high (low) volatility. Thus, discrete hedging strategies seem more accurate and meaningful than the arbitrary regular intervals largely presented and discussed in literature. |
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Portfolio insurance using traded optionsoptionshedgingportfolio insuranceLiterature concerning the institutional use of options indicates that the main purpose of option trading is to provide investors with the opportunity to create return distributions previously unavailable, considering that options provide the means to manipulate portfolio returns. In such a context, this study intends to analyse the returns of insured portfolios generated by hedging strategies on underlying stock portfolios. Because dynamic hedging is too expensive, we have hedged the stock positions discretely, in a way that the positions were revised only when the daily hedge ratio has changed more than a specific amount. The results, provided by these hedging schemes, indicate that a small rise of the standard deviation seems to be largely compensated with the higher average returns. In fact, such strategies seem to be highly influenced by the price movements of underlying stocks, requiring more frequent (sparse) adjustments in periods of high (low) volatility. Thus, discrete hedging strategies seem more accurate and meaningful than the arbitrary regular intervals largely presented and discussed in literature.Associação Nacional de Pós-Graduação e Pesquisa em Administração2001-12-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersiontext/htmlhttp://old.scielo.br/scielo.php?script=sci_arttext&pid=S1415-65552001000300010Revista de Administração Contemporânea v.5 n.3 2001reponame:RAC. Revista de Administração Contemporânea (Online)instname:Associação Nacional de Pós-Graduação e Pesquisa em Administração (ANPAD)instacron:ANPAD10.1590/S1415-65552001000300010info:eu-repo/semantics/openAccessMachado-Santos,Carloseng2009-04-09T00:00:00Zoai:scielo:S1415-65552001000300010Revistahttps://rac.anpad.org.br/index.php/racONGhttps://rac.anpad.org.br/index.php/rac/oairac@anpad.org.br1982-78491415-6555opendoar:2009-04-09T00:00RAC. Revista de Administração Contemporânea (Online) - Associação Nacional de Pós-Graduação e Pesquisa em Administração (ANPAD)false |
dc.title.none.fl_str_mv |
Portfolio insurance using traded options |
title |
Portfolio insurance using traded options |
spellingShingle |
Portfolio insurance using traded options Machado-Santos,Carlos options hedging portfolio insurance |
title_short |
Portfolio insurance using traded options |
title_full |
Portfolio insurance using traded options |
title_fullStr |
Portfolio insurance using traded options |
title_full_unstemmed |
Portfolio insurance using traded options |
title_sort |
Portfolio insurance using traded options |
author |
Machado-Santos,Carlos |
author_facet |
Machado-Santos,Carlos |
author_role |
author |
dc.contributor.author.fl_str_mv |
Machado-Santos,Carlos |
dc.subject.por.fl_str_mv |
options hedging portfolio insurance |
topic |
options hedging portfolio insurance |
description |
Literature concerning the institutional use of options indicates that the main purpose of option trading is to provide investors with the opportunity to create return distributions previously unavailable, considering that options provide the means to manipulate portfolio returns. In such a context, this study intends to analyse the returns of insured portfolios generated by hedging strategies on underlying stock portfolios. Because dynamic hedging is too expensive, we have hedged the stock positions discretely, in a way that the positions were revised only when the daily hedge ratio has changed more than a specific amount. The results, provided by these hedging schemes, indicate that a small rise of the standard deviation seems to be largely compensated with the higher average returns. In fact, such strategies seem to be highly influenced by the price movements of underlying stocks, requiring more frequent (sparse) adjustments in periods of high (low) volatility. Thus, discrete hedging strategies seem more accurate and meaningful than the arbitrary regular intervals largely presented and discussed in literature. |
publishDate |
2001 |
dc.date.none.fl_str_mv |
2001-12-01 |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://old.scielo.br/scielo.php?script=sci_arttext&pid=S1415-65552001000300010 |
url |
http://old.scielo.br/scielo.php?script=sci_arttext&pid=S1415-65552001000300010 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
10.1590/S1415-65552001000300010 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
text/html |
dc.publisher.none.fl_str_mv |
Associação Nacional de Pós-Graduação e Pesquisa em Administração |
publisher.none.fl_str_mv |
Associação Nacional de Pós-Graduação e Pesquisa em Administração |
dc.source.none.fl_str_mv |
Revista de Administração Contemporânea v.5 n.3 2001 reponame:RAC. Revista de Administração Contemporânea (Online) instname:Associação Nacional de Pós-Graduação e Pesquisa em Administração (ANPAD) instacron:ANPAD |
instname_str |
Associação Nacional de Pós-Graduação e Pesquisa em Administração (ANPAD) |
instacron_str |
ANPAD |
institution |
ANPAD |
reponame_str |
RAC. Revista de Administração Contemporânea (Online) |
collection |
RAC. Revista de Administração Contemporânea (Online) |
repository.name.fl_str_mv |
RAC. Revista de Administração Contemporânea (Online) - Associação Nacional de Pós-Graduação e Pesquisa em Administração (ANPAD) |
repository.mail.fl_str_mv |
rac@anpad.org.br |
_version_ |
1754209049786712064 |