Equity Indexing

Name: Equity Indexing
Brand: VDM Verlag Dr. Müller
SKU: 9783639194784
Price: 405.8 RON
Availability: InStock

Hedging and Trading Stock Market Indices and Exchange Traded Funds

Autor: Andreza Barbosa

Limbă:

Legare: Carte broșată

Editura: VDM Verlag Dr. Müller

Disponibilitate: La editor doar la comandă

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The present book provides an empirical analysis of equity indices and exchange traded funds (ETFs),...

Informații despre carte

Autor

Andreza Barbosa

Limbă

engleză

Legare

Carte - Carte broșată

Publicat

2009

Pagini

216

EAN

9783639194784

Enbook ID

06827561

Editura

VDM Verlag Dr. Müller

Greutate

246

Dimensiuni

153 x 221 x 18

Descriere completă

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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Equity Indexing

Hedging and Trading Stock Market Indices and Exchange Traded Funds

Informații despre carte

Descriere completă

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