Hedged portfolio

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 ?
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.
66 One Month Hedged Portfolio Hedge Expected Hedge Portfolio Risk Year Cost Ratio, h Variance Reduction 1990 0.
After deriving the hedged portfolio processes, we construct the hedging model taking both the cost of hedging and the insurers' risk minimization motives into consideration to arrive at a risk-return optimum futures hedge ratio.
Given this hedging strategy, domestic currency return of an investment in foreign hedged portfolio will be:
Weise, 1994, "Competing Derivative Equity Instruments--Empirical-Evidence on Hedged Portfolio Performance", Journal of Futures Markets, 14:421-436
This section provides only a brief description of the hedged portfolio methodology.
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.
during a given period and the hedged portfolio frontier
One of the most thought-provoking items a board member might hear is, "We made $10 million on our hedged portfolio last year.
Thus, in the period from 1970 to 1989, currency hedging did reduce portfolio volatility over the short term, though over 10 years the unhedged portfolio was only slightly more volatile than a hedged portfolio.
4) dominates the riskless security and, consequently, x is really a hedged portfolio.
In other words, Speculators Portfolio is the only actively managed hedged portfolio where clients only pay a fee if they have positive returns.