Since 2014
Optimal Hedging Strategy of Equity-Linked Products
Journal of Financial Studies
View Archive Info| Field | Value | |
| Title |
Optimal Hedging Strategy of Equity-Linked Products
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| Creator |
Hong-Chih Huang
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| Description |
Recently, Asset liability management gains more attentions. Asset allocation has become a critical issue in financial institution. Conventionally, literatures of portfolio selections mainly focus on the issue of single-period. However, it is not appropriate to hedge a long-term liability by the means of single-period investment strategy. The main purpose of this paper is to find optimal multi-period dynamic hedging strategies which minimize the riskiness of the investment portfolio relative to the equity-linked liability. Theoretical optimal solution is obtained by the backward method of risk-minimizing hedging strategy. This paper finds that matching is concerned with the selection of assets which most closely resemble the liability cash flows, whereas multi-period optimal asset allocation is concerned with selection of assets which attain an optimal level of risk. Key words: multi-period asset allocation, dynamic hedging, backward method |
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| Publisher |
Journal of Financial Studies
財務金èžå¸åˆŠ |
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| Date |
2011-03-10
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| Type |
—
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| Format |
application/pdf
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| Identifier |
http://www.jfs.org.tw/index.php/jfs/article/view/2011057
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| Source |
Journal of Financial Studies; Vol 17, No 1 (2009); 75
財務金èžå¸åˆŠ; Vol 17, No 1 (2009); 75 |
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| Language |
—
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