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Title :Using put option for hedging the risk of portfolio
Creator :Kokas, Sotirios
Contributor :Topaloglou, Nikolaos (Επιβλέπων καθηγητής)
Athens University of Economics and Business, Department of International European Economic Studies (Degree granting institution)
Type :Text
Language :en
Abstract :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.
Subject :Portfolio optimization
Risk management
Greek exchange center
Conditional Value-at-Risk (CvaR)
Mean Absolute Deviation (MAD)
Hedging Portfolio
Date :2010
Licence :

File: Kokas_2010.pdf

Type: application/pdf