Economic Hedging Portfolios
نویسندگان
چکیده
منابع مشابه
Inflation hedging portfolios in different regimes
This paper presents the optimal strategic asset allocation for investors seeking to hedge inflation risk. Using a vector-autoregressive model, we investigate the optimal choice for an investor with a fixed target real return at different horizons, with shortfall probability constraint. We show that the strategic allocation differs sharply across regimes. In a volatile macroeconomic environment,...
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The valuation theory for American Contingent Claims, due to Bensoussan (1984) and Karatzas (1988), is extended to deal with constraints on portfolio choice, including incomplete markets and borrowing/short-selling constraints, or with different interest rates for borrowing and lending. In the unconstrained case, the classical theory provides a single arbitrage-free price u0; this is expressed a...
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We propose a method for extending a given asset pricing formula to account for two additional sources of risk: the risk associated with future changes in market–calibrated parameters and the remaining risk associated with idiosyncratic variations in the individual assets described by the formula. The paper makes simple and natural assumptions for how these risks behave. These extra risks should...
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We consider the problem of hedging a European interest rate contingent claim with a portfolio of zero-coupon bonds and show that an HJM type Markovian model driven by an infinite number of sources of randomness does not have some of the shortcomings found in the classical finite factor models. Indeed, under natural conditions on the model, we find that there exists a unique hedging strategy, an...
متن کاملMating portfolios: bet-hedging, sexual selection and female multiple mating.
Polyandry (female multiple mating) has profound evolutionary and ecological implications. Despite considerable work devoted to understanding why females mate multiply, we currently lack convincing empirical evidence to explain the adaptive value of polyandry. Here, we provide a direct test of the controversial idea that bet-hedging functions as a risk-spreading strategy that yields multi-genera...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2003
ISSN: 1556-5068
DOI: 10.2139/ssrn.384041