Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/43411
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dc.contributor.authorMichalik, Thorstenen_US
dc.contributor.authorSchubert, Leoen_US
dc.date.accessioned2010-06-17en_US
dc.date.accessioned2010-12-16T15:55:11Z-
dc.date.available2010-12-16T15:55:11Z-
dc.date.issued2009en_US
dc.identifier.urihttp://hdl.handle.net/10419/43411-
dc.description.abstractFund Management today uses the active and passive way to construct a portfolio. Exchange Traded Funds (ETFs) are cheap instruments to cover the passive managed part of the investment. ETFs exist for stock-, bond- and commodity markets. In most cases the underlying of an ETF is an Index. Besides the investment in ETFs, for some markets, short ETFs are listed. Short ETFs allow funds manager to earn in bearish markets and therefore, short ETFs offer a competitive hedging possibility. To get some insights in the value of short ETF as instrument for 'perfect' hedging, empirical data of the German stock index DAX are used. Obviously, using short ETF for hedging cannot completely neutralize losses of the underlying instrument. The 'cross' hedge of an individual portfolio by ShortDAX ETF depicted a strong risk reduction. As risk measures, the variance, the absolute deviation and some different target-shortfall probabilities are applied. To find efficient portfolios for the cross hedge, two algorithms were developed, which need no linear or mixed integer optimization software.en_US
dc.language.isoengen_US
dc.publisher|aen_US
dc.relation.ispartofseries|aEconomic analysis working papers |x2009,9en_US
dc.subject.ddc330en_US
dc.subject.keywordPortfolio Optimizationen_US
dc.subject.keywordHedgingen_US
dc.subject.keywordInsurance and Immunization of portfoliosen_US
dc.subject.keywordshort Exchange Traded Funds (ETFs)en_US
dc.subject.keywordMean - Absolute deviation Portfoliosen_US
dc.subject.keywordMean - Target-Shortfall-Probability Portfoliosen_US
dc.titleHedging portfolios with short ETFsen_US
dc.type|aWorking Paperen_US
dc.identifier.ppn629462739en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US

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