Replicating portfolio

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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.
References in periodicals archive ?
The errors are obtained using (32) for both replicating portfolios based on 100,000 index trajectories.
On the other hand, fewer trading dates may lead to less expensive replicating portfolios when including transaction costs.
This dynamic hedging strategy specifies the composition of the underlying replicating portfolio.
First, the models under consideration are calibrated to the observed cross-sectional vanilla option prices and the resulting models are used to set up replicating portfolios for other options at the same time.
By looking at barrier options, these studies address the essence of model risk in options but are limited in their focus on static hedging where the replicating portfolios are not rebalanced until the maturity of the target option once they have been constructed.
To avoid this problem, ATM options with a fixed maturity are used when constructing the replicating portfolios at any rebalance time.
We use the replicating portfolios to illustrate properties of bonds outstanding in the US credit market.
More generally, the replicating portfolios for the most average neighboring bonds.
Replicating portfolios can also be used to price options, but this discussion will be limited to their hedging properties.
Replicating portfolios always have this property: liquidating the current portfolio nets exactly enough money to form the next portfolio.
These replicating portfolios are not without risk as they aim to forecast future hedge fund behavior with past returns.
patent for its stochastic optimization algorithm and process for replicating portfolios of securities.