Effectiveness of hedging with futures contracts
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Mostrar el registro completo del ítemcomunitat-uji-handle:10234/158176
comunitat-uji-handle2:10234/71324
comunitat-uji-handle3:10234/97664
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Título
Effectiveness of hedging with futures contractsAutoría
Tutor/Supervisor
Nieto Soria, LuisaTutor/Supervisor; Universidad.Departamento
Universitat Jaume I. Departament de Finances i ComptabilitatFecha de publicación
2016-11-08Editor
Universitat Jaume IResumen
This paper develops a model to hedging a portfolio of shares against the risk
of the possible fall of the price through the use of futures on IBEX 35. We will evaluate
the robustness of this coverage by subjecting ... [+]
This paper develops a model to hedging a portfolio of shares against the risk
of the possible fall of the price through the use of futures on IBEX 35. We will evaluate
the robustness of this coverage by subjecting it to various strategies and evaluating
them in terms of efficiency. We will analyze your response hedging in different
scenarios: 1) does not cover the stock portfolio, 2) cover the portfolio and maintain the
future through expiration date and 3) cover the portfolio and cancel the futures position
before the expiration date. With this we will obtain results with which we will be able to
clarify a response of the efficiency of the hedging and correct use of which instrument
is most effective to cover it. [-]
Palabras clave / Materias
Descripción
Treball Final de Grau en Finances i Comptabilitat. Codi: FC1049. Curs: 2015/2016
Tipo de documento
info:eu-repo/semantics/bachelorThesisDerechos de acceso
info:eu-repo/semantics/openAccess
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