Βιβλιοθήκη ΟΠΑ - Ψηφιακό Αποθετήριο

ΠΥΞΙΔΑ Ιδρυματικό Αποθετήριο
και Ψηφιακή Βιβλιοθήκη

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Συλλογές :	Ιδρυματικό Αποθετήριο ΟΠΑ / AUEB Institutional Repository Σχολή Οικονομικών Επιστημών / School of Economics Τμήμα Διεθνών και Ευρωπαϊκών Οικονομικών Σπουδών / Department of International and European Economic Studies Μεταπτυχιακές Εργασίες / Postgraduate dissertations

Τίτλος :	Using put option for hedging the risk of portfolio

Δημιουργός :	Kokas, Sotirios

Συντελεστής :	Topaloglou, Nikolaos (Επιβλέπων καθηγητής) Athens University of Economics and Business, Department of International European Economic Studies (Degree granting institution)

Τύπος :	Text

Γλώσσα :	en

Περίληψη :	In this present master thesis we are studying the way that we can construct a portfolio from the Greek exchange center and also the hedging strategy that we need to follow in order to minimize the amount of losses that will have. In the first chapter we are analysis the theory of portfolio optimization (VaR, CvaR, M.A.D.) and also the number of properties that a risk measure needed to have in order to be coherent.In the second chapter we are concerned with the empirical analysis of the theory on the Greek exchange center and also with the Back-testing of CvaR and M.A.D.In the third chapter we incorporate the long position of put option on FTSE 20 and also the long position on securities in order to hedge the initial value of portfolio.

Περίληψη :

In this present master thesis we are studying the way that we can construct a portfolio from the Greek exchange center and also the hedging strategy that we need to follow in order to minimize the amount of losses that will have. In the first chapter we are analysis the theory of portfolio optimization (VaR, CvaR, M.A.D.) and also the number of properties that a risk measure needed to have in order to be coherent.In the second chapter we are concerned with the empirical analysis of the theory on the Greek exchange center and also with the Back-testing of CvaR and M.A.D.In the third chapter we incorporate the long position of put option on FTSE 20 and also the long position on securities in order to hedge the initial value of portfolio.

Λέξη κλειδί :	Portfolio optimization Risk management Greek exchange center Conditional Value-at-Risk (CvaR) Mean Absolute Deviation (MAD) FTSE-20 Hedging Portfolio

Ημερομηνία :	2010

Άδεια χρήσης :

Αρχείο: Kokas_2010.pdf

Τύπος: application/pdf

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