Please use this identifier to cite or link to this item: https://scholarbank.nus.edu.sg/handle/10635/170019
Title: EXAMINATION OF CONSTANT, DYNAMIC AND UNHEDGED PORTFOLIOS USING SIMEX FUTURES
Authors: JOSEPH TAN THIAM HOCK
Issue Date: 1992
Citation: JOSEPH TAN THIAM HOCK (1992). EXAMINATION OF CONSTANT, DYNAMIC AND UNHEDGED PORTFOLIOS USING SIMEX FUTURES. ScholarBank@NUS Repository.
Abstract: Essentially, this paper seeks to investigate, firstly, the stability of the minimum variance hedge ratio as is used in Traditional Hedging Strategies. Secondly, it evaluates the effectiveness of a simple dynamic hedge and assesses its performance vis-a-vis the constant minimum-variance hedge and a "do nothing" strategy (unhedge) using a two-part return-risk hedging effectiveness measure. The purpose of this is to establish some guidelines whereby intelligent choices can be made in deciding the appropriate hedge ratio to use. The analysis that follows indicates that futures contracts do reduce the risk of an exposure to an underlying cash position. Results also show that generally, the simple dynamic portfolio constructed using time-varying hedged ratios, outperforms the constant hedged and unhedged portfolio in a return-risk basis.
URI: https://scholarbank.nus.edu.sg/handle/10635/170019
Appears in Collections:Bachelor's Theses

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