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- W1489400710 abstract "Purpose – The purpose of this paper is to empirically test dynamic hedging, using data from the FTSE-100 and Standard & Poor’s (S&P) 500 futures indices. Design/methodology/approach – The authors introduce a dynamic continuous-time hedging model in futures markets. The authors further relax the statistical-independence assumption between the spot price and basis risk. Findings – The authors show that the investors are, on average, quite risk averse. The authors find that a one unit increase in the price volatility reduces the hedged FTSE-100 (S&P 500) by 645.62 (777.07) units. Similarly, a one unit increase in basis risk reduces the hedged FTSE-100 (S&P 500) by 403.57 (378.54) units. The authors’ approach shows that risk-averse investors should decrease their hedge (i.e. increase their equity allocation) with an increase in index price risk. Practical implications – These findings are helpful to risk managers dealing with futures markets. Originality/value – The contribution of this paper is that it successfully introduces a dynamic continuous-time hedging model in futures markets." @default.
- W1489400710 created "2016-06-24" @default.
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- W1489400710 date "2015-03-16" @default.
- W1489400710 modified "2023-09-27" @default.
- W1489400710 title "A note on dynamic hedging" @default.
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- W1489400710 doi "https://doi.org/10.1108/jrf-10-2014-0143" @default.
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