Effectiveness of hedging with futures contracts
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Show full item recordcomunitat-uji-handle:10234/158176
comunitat-uji-handle2:10234/71324
comunitat-uji-handle3:10234/97664
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Title
Effectiveness of hedging with futures contractsAuthor (s)
Tutor/Supervisor
Nieto Soria, LuisaTutor/Supervisor; University.Department
Universitat Jaume I. Departament de Finances i ComptabilitatDate
2016-11-08Publisher
Universitat Jaume IAbstract
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. [-]
Subject
Description
Treball Final de Grau en Finances i Comptabilitat. Codi: FC1049. Curs: 2015/2016
Type
info:eu-repo/semantics/bachelorThesisRights
info:eu-repo/semantics/openAccess
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