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Viac informácií o knihe Equity Indexing

• Parametre knihy
• Anotácia kniha
• Obľúbené z iného súdka

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Anotácia knihy

The present book provides an empirical analysis of equity indices and exchange traded funds (ETFs), i.e. tradable versions of traditional equity indices. We compare the performance of minimum variance (MV) hedge ratios applied to equity indices and propose a performance measure that takes into account the conditional variance of the hedged portfolio. We analyse the hedging and cross hedging of ETFs and assess the results of applying distinct MV models to the higher moments of the returns distribution of the hedged portfolio.Finally we investigate the possibility of using the probability output of a Markov Switching model to develop trading rules for ETFs. The explanatory variable used is the volatility index from the corresponding equity market and the trading rule is based on the volatility feedback assumption with a positive relationship between return and volatility.

Parametre knihy

• Celý názov: Equity Indexing
• Podnázov: Hedging and Trading Stock Market Indices and Exchange Traded Funds
• Autor: Andreza Barbosa
• Jazyk: Angličtina
• Väzba: Brožovaná
• Počet strán: 216
• EAN: 9783639194784
• ID: 06827561
• Nakladateľ: VDM Verlag Dr. Müller
• Hmotnosť: 246 g
• Rozmery: 221 × 153 × 18 mm
• Rok vydania: 2009

Obľúbené z iného súdka

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