Hedging Long-Term Exposures of a Well-Diversified Portfolio with Short-Term Stock Index Futures Contracts
Joint Authors
Fu, Junhui
Zhang, Wei-Guo
Liu, Yufang
Chen, Rongda
Source
Mathematical Problems in Engineering
Issue
Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-13, 13 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2014-04-24
Country of Publication
Egypt
No. of Pages
13
Main Subjects
Abstract EN
It is difficult for passive portfolio strategy to manage the long-term exposure of a well-diversified portfolio because stock index futures contracts have a finite life limited by their maturity.
In this paper, we investigate the problem of the rollover hedge strategy for the long-term exposure of a well-diversified portfolio.
First, we consider the rollover hedge strategy for the well-diversified portfolio when the portfolio is not adjusted during the period.
In order to obtain the optimal solution of the proposed model, the auxiliary models are constructed using the equivalent transformation technique.
Moreover, dynamic programming is employed to derive the optimal positions of stock index futures contracts for the long-term exposure of the well-diversified portfolio.
In addition, we extend the result to the case of the rollover hedge strategy with transaction costs and derive the optimal number of stock index futures contracts.
American Psychological Association (APA)
Liu, Yufang& Zhang, Wei-Guo& Chen, Rongda& Fu, Junhui. 2014. Hedging Long-Term Exposures of a Well-Diversified Portfolio with Short-Term Stock Index Futures Contracts. Mathematical Problems in Engineering،Vol. 2014, no. 2014, pp.1-13.
https://search.emarefa.net/detail/BIM-502694
Modern Language Association (MLA)
Liu, Yufang…[et al.]. Hedging Long-Term Exposures of a Well-Diversified Portfolio with Short-Term Stock Index Futures Contracts. Mathematical Problems in Engineering No. 2014 (2014), pp.1-13.
https://search.emarefa.net/detail/BIM-502694
American Medical Association (AMA)
Liu, Yufang& Zhang, Wei-Guo& Chen, Rongda& Fu, Junhui. Hedging Long-Term Exposures of a Well-Diversified Portfolio with Short-Term Stock Index Futures Contracts. Mathematical Problems in Engineering. 2014. Vol. 2014, no. 2014, pp.1-13.
https://search.emarefa.net/detail/BIM-502694
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-502694