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Author
Kozdraj Tomasz
Title
Uwagi o metodach szacowania współczynnika zabezpieczenia portfela kontraktami terminowymi
Remarks on Hedge Ratios Estimation Methods with Futures Contracts
Source
Przegląd Statystyczny, 2004, vol. 51, z. 3, s. 153-163, bibliogr. 12 poz.
Statistical Review
Keyword
Metody ekonometryczne, Portfel papierów wartościowych, Ryzyko inwestycyjne, Kontrakty futures
Econometric methodology, Portfolio securities, Investment risk, Futures contracts
Note
summ.
Abstract
W artykule przedstawione zostały metody szacowania optymalnego współczynnika portfela kontraktami terminowymi futures przy uwzględnieniu miary ryzyka skupiającej się tylko na ujemnych odchyleniach. W przykładzie wykorzystano wartości indeksu Warszawskiej Giełdy Papierów Wartościowych WIG20 oraz notowania kontraktów terminowych futures na tenże indeks.

Risk management become a main issue in the last years on the financial markets. Particularly derivates has gained popularity due to the possibility of creating adequate hedging strategy. That sort of strategy depends on attitude towards risk. While most of the investors prefer variance, some may benefit from using other measures of risk in their investment decisions, especially if they are concerned with minimizing the downside risk of their portfolios. A numerical method for calculating hedge ratios using a downside risk measure (lower partial moment) is presented in the article. The method was applied to the Warsaw Stock Exchange WIG20 index and futures on WIG20. The result shows that lower partial moment hedge ratios with adequately set return rate period are effective in reducing downside risk.
Accessibility
The Main Library of the Cracow University of Economics
The Library of Warsaw School of Economics
The Library of University of Economics in Katowice
The Main Library of Poznań University of Economics and Business
The Main Library of the Wroclaw University of Economics
Bibliography
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Cited by
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ISSN
0033-2372
Language
pol
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