Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/43411 
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dc.contributor.authorMichalik, Thorstenen
dc.contributor.authorSchubert, Leoen
dc.date.accessioned2010-06-17-
dc.date.accessioned2010-12-16T15:55:11Z-
dc.date.available2010-12-16T15:55:11Z-
dc.date.issued2009-
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
dc.language.isoengen
dc.publisher|aColegio de Economistas de A Coruña |cA Coruñaen
dc.relation.ispartofseries|aEconomic Analysis Working Papers |x2009,9en
dc.subject.ddc330en
dc.subject.keywordPortfolio Optimizationen
dc.subject.keywordHedgingen
dc.subject.keywordInsurance and Immunization of portfoliosen
dc.subject.keywordshort Exchange Traded Funds (ETFs)en
dc.subject.keywordMean - Absolute deviation Portfoliosen
dc.subject.keywordMean - Target-Shortfall-Probability Portfoliosen
dc.titleHedging portfolios with short ETFs-
dc.type|aWorking Paperen
dc.identifier.ppn629462739en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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