股票衍生工具在投资组合管理中的应用

IF 1.5 Q3 BUSINESS, FINANCE

Journal of Asset Management Pub Date : 2024-09-02 DOI:10.1057/s41260-024-00367-y

Eddie C. Cheng, Frank J. Fabozzi, Robert Harlow, Wai Lee, Shaojun Zhang

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引用次数: 0

摘要

本文介绍了股票衍生品在投资组合管理中的实际应用，提供了一种超越学术文献和衍生品教科书中常见的理论重点的实用方法。三个主要应用包括利用股指期货进行有效的流动性管理，利用期货的现金等价化策略优化现金持有量，以及利用期权评估和管理事件驱动的市场风险。每个应用都提供了详细的实际案例，展示了这些衍生工具如何成为投资组合经理提高业绩和实现战略投资目标的重要工具。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

Applications of equity derivatives to portfolio management

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Applications of equity derivatives to portfolio management

This article provides real-world applications of equity derivatives in portfolio management, providing a practical approach that transcends the theoretical focus often found in academic literature and derivatives textbooks. The three primary applications include using stock index futures for effective liquidity management, employing cash equitization strategies with futures to optimize cash holdings, and utilizing options to assess and manage event-driven market risks. Each application provides detailed real-world cases, demonstrating how these derivatives serve as essential tools for portfolio managers in enhancing performance and aligning with strategic investment goals.

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来源期刊

Journal of Asset Management BUSINESS, FINANCE-

CiteScore

4.10

自引率

0.00%

发文量

期刊介绍： The Journal of Asset Management covers:new investment strategies, methodologies and techniquesnew products and trading developmentsimportant regulatory and legal developmentsemerging trends in asset managementUnder the guidance of its expert Editors and an eminent international Editorial Board, Journal of Asset Management has developed to provide an international forum for latest thinking, techniques and developments for the Fund Management Industry, from high-growth investment strategies to modelling and managing risk, from active management to index tracking. The Journal has established itself as a key bridge between applied academic research, commercial best practice and regulatory interests, globally.Each issue of Journal of Asset Management publishes detailed, authoritative briefings, analysis, research and reviews by leading experts in the field, to keep subscribers up to date with the latest developments and thinking in asset management.Journal of Asset Management covers:asset allocation hedge fund strategies risk definition and management index tracking performance measurement stock selection investment methodologies and techniques portfolio management and weighting product development and innovation active asset management style analysis strategies to match client profiles time horizons emerging markets alternative investments derivatives and hedging instruments pensions economics