Hedged portfolio

A portfolio consisting of a long position in the stock and a long position in the put option on the stock, so as to be riskless and produce a return that equals the risk-free interest rate.

References in periodicals archive ?

Therefore, a properly hedged portfolio should have a good combination of both asset classes.

Principles Of Finance

If we assume that insurance companies set up a hedged portfolio under a self-financing constraint (which means that the premiums received for death or life benefits are used to build the hedge) and may include bonds in the menu of available assets, we perform asset and liability management.

SINGLE- AND CROSS-GENERATION NATURAL HEDGING OF LONGEVITY AND FINANCIAL RISK

With the consideration of the information set at the time t - [tau], we can obtain the following optimal dynamic hedge ratio by minimizing risk of the hedged portfolio [pi] = [S.sub.t] - [h.sub.t-[tau]][F.sub.t], or d[pi] = d[S.sub.t] - [h.sub.t-[tau]]d[F.sub.t]:

Dynamic Hedging Based on Fractional Order Stochastic Model with Memory Effect

However, during such times of stable markets, the hedging benefits are not of great value to investors, as the offsetting effects are likely to decrease the returns of the hedged portfolio. Instead, investors can expect higher benefits of holding a long position in gold assets during periods of abnormal market volatility.

Gold investment as hedge or safe haven

Compared with the minimum variance of unhedged portfolio returns, Ederington [19] asserted that percentage reduction in the variance of hedged portfolio returns estimate hedging effectiveness (HE).

Empirical evidence on time-varying hedging effectiveness of emissions allowances under departures from the cost-of-carry theory

Given this hedging strategy, domestic currency return of an investment in foreign hedged portfolio will be:

Exchange rate and risk premium conversion on interest rate markets

Weise, 1994, "Competing Derivative Equity Instruments--Empirical-Evidence on Hedged Portfolio Performance", Journal of Futures Markets, 14:421-436

11120000 Security design

(15) To determine the hedged portfolio return that would be realized by optimally weighting the portfolio based on the fundamental signals, we estimate the following equation:

The contribution of fundamental analysis after a currency devaluation

A perfectly hedged portfolio - that is, one in which all financial risk is neutralized - would naturally have no uncertainty and translate to the VAR being a single value without any range in value (i.e., no uncertainty equals no risk).

Technology for risk-based pricing and management

Indeed, the hedged portfolio value turns negative where the options value and the hedge value intersect.

Dealers' hedging of interest rate options in the U.S. dollar fixed-income market

the hedged portfolio return.(2) The impact on hedged

The role of currency derivatives in international diversified portfolios

One of the most thought-provoking items a board member might hear is, "We made $10 million on our hedged portfolio last year." The inquisitive board member responds: "Are we hedging or are we speculating?"