COMPARATIVE ANALYSIS OF STRATEGIES FOR HEDGING A SECURITIES PORTFOLIO WITH FUTURES

Hedging is one of the most popular strategies of the market risk management. The main purpose of hedging is to reduce the volatility (or variability) of the yield on the portfolio composed of spot assets and hedging tools. The hedging tools may consist of futures contracts, options and off-exchange...

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Bibliographic Details

Published in:	Финансы: теория и практика
Main Authors:	V. V. Lakshina, K. A. Lapshina
Format:	Article
Language:	Russian
Published:	Government of the Russian Federation, Financial University 2017-10-01
Subjects:	stock market hedging futures least squares method conditional heteroscedasticity hedge ratio hedge effectiveness
Online Access:	https://financetp.fa.ru/jour/article/view/292