Article

Model-Free Market Price of Variance Risk and Performance of Hedged Portfolios

February 2009
SSRN Electronic Journal

DOI:10.2139/ssrn.1344092

Authors:

National Chung Hsing University

This study implements a model-free approach to measure the market price of the variance risk. The value of the variance contract is estimated from prices of traded CBOE variance futures that offer an alternative to OTC variance swaps on the S&P 500 index. The variance risk appears to be priced, and its risk premium is negative and economically very large. Our results show that the investor with CRRA preferences is long the market and short the variance futures. The economic value of introducing the variance futures is large even when the investor can trade options on the S&P 500 index.

ResearchGate has not been able to resolve any citations for this publication.

ResearchGate has not been able to resolve any references for this publication.

Article

Full-text available

Estratégias de hedge com os contratos futuros de soja da Chicago Board of Trade

January 2010 · Gestão & Produção

Este trabalho avalia os retornos e os riscos de estratégias de hedge para as dez principais regiões produtoras de soja do Brasil em relação aos contratos futuros de soja da Chicago Board of Trade (CBOT). Verificou-se que as bases apresentaram padrão bem definido: fortalecimento entre maio e novembro, seguido por enfraquecimento nos seis meses subsequentes. Os hedgers de compra possuem ... [Show full abstract] oportunidades de obter retornos brutos maiores, mas os riscos envolvidos nas estratégias de hedge de compra também são maiores. Conclui-se que os contratos de soja em grão da CBOT apresentam diferentes possibilidades de retornos brutos em função do tipo de hedge, do período hedgeado e do contrato utilizado. Logo, as informações disponibilizadas neste trabalho se apresentam como importante subsídio ao processo de tomada de decisão por parte dos agentes da cadeia agroindustrial da soja.

Article

Optimal Hedging in Lumber Futures Markets

September 1986 · Forest Science

This paper investigated the effectiveness of the lumber futures market in hedging unexpected price variations. The related optimum hedge ratio, i.e., the fraction of the cash position that should be hedged to minimize risk, was also studied. The measure of hedging effectiveness used was the correlation between cash and futures price, conditional on information available at the time of hedging. ... [Show full abstract] The analysis of weekly price data showed that during the period June 1980 to February 1985 optimum use of the lumber futures market could have reduced the variance in gain or loss by 50 to 90 percent. Longer hedges were generally more effective and so were those liquidated near the closure of the futures contract. The best strategy was to hedge the cash position entirely, except for hedges liquidated within 8 weeks of contract closure for which hedge ratios of 60 to 80 percent were most effective. Forest Sci. 32:634-642.