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Replicating Portfolio

   Also found in: Wikipedia 0.01 sec.
Replicating portfolio
A portfolio constructed to match an index or benchmark.

Replicating Portfolio
A portfolio that attempts to match, as closely as possible, some benchmark or index. See also: Index fund, Exchange-traded fund.


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To replicate the tax consequences of the debt, the replicating portfolio consists of an amount [T.
25 Thus, the replicating portfolio should consist of one share of stock for each four options sold.
As with the binomial model, the replicating portfolio also includes an appropriate amount of borrowing.
 
 
 
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