Publicação
The cost of hedging against downside market risk
| datacite.subject.fos | Ciências Sociais::Economia e Gestão | pt_PT |
| dc.contributor.advisor | Boons, Martijn | |
| dc.contributor.author | Puma, Stefano | |
| dc.contributor.author | Veneroni, Alessandro | |
| dc.date.accessioned | 2019-05-22T14:05:56Z | |
| dc.date.available | 2019-05-22T14:05:56Z | |
| dc.date.issued | 2019-01-14 | |
| dc.description.abstract | What part of the upside would an investor have to give up to obtain some form of continuous loss protection? In other words, what is the implicit cost of setting up a systematic option-based protective strategy on an equity position? The acquisition of a 15% out-of-the-money put can be financed by selling a call at the same price. Our results suggest that such a strategy on an index can be costly and not necessarily convenient: hedging all drops bigger than 15% on the S&P 500 index starting from 2012 would have required to cap profits at 5.49%, on average. | pt_PT |
| dc.identifier.tid | 202226832 | pt_PT |
| dc.identifier.tid | 202226549 | |
| dc.identifier.uri | http://hdl.handle.net/10362/70409 | |
| dc.language.iso | eng | pt_PT |
| dc.subject | Portfolio insurance | pt_PT |
| dc.subject | Costless collar | pt_PT |
| dc.subject | Self-financing | pt_PT |
| dc.subject | Put protection | pt_PT |
| dc.title | The cost of hedging against downside market risk | pt_PT |
| dc.type | master thesis | |
| dspace.entity.type | Publication | |
| rcaap.rights | openAccess | pt_PT |
| rcaap.type | masterThesis | pt_PT |
| thesis.degree.name | A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics | pt_PT |