Equity Indexing

Name: Equity Indexing
Brand: VDM Verlag Dr. Müller
SKU: 9783639194784
Price: 81.61 EUR
Availability: InStock

Hedging and Trading Stock Market Indices and Exchange Traded Funds

Автор: Andreza Barbosa

Език:

Корици: С меки корици

Издател: VDM Verlag Dr. Müller

Наличност: Налично при издателя, по поръчка

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81.61 € 159.61 лв

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

Информация за книгата

Автор

Andreza Barbosa

Език

Английски език

Корици

Книга - С меки корици

Издадена

2009

страници

216

EAN

9783639194784

Enbook ID

06827561

Издател

VDM Verlag Dr. Müller

Теглоt

246

Размери

153 x 221 x 18

Пълно описание

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

Информация за книгата

Пълно описание

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Клиенти, които купиха тази книга, купиха също