Hedging Long-Term Exposures of a Well-Diversified Portfolio with Short-Term Stock Index Futures Contracts
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...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Hindawi Limited
2014-01-01
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| Series: | Mathematical Problems in Engineering |
| Online Access: | http://dx.doi.org/10.1155/2014/843240 |