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@inproceedings{1317890,
author = {Florianová, Hana},
address = {Tallinn},
booktitle = {7th International Conference Economic Challanges in Enlarged Europe},
keywords = {warrants; delta-hedging; portfolio; Frankfurt Stock Exchange; transaction costs},
howpublished = {paměťový nosič},
language = {eng},
location = {Tallinn},
pages = {1-9},
publisher = {Tallinn University of Technology},
title = {How often rebalance delta-hedged portfolios?},
year = {2015}
}
TY - JOUR
ID - 1317890
AU - Florianová, Hana
PY - 2015
TI - How often rebalance delta-hedged portfolios?
PB - Tallinn University of Technology
CY - Tallinn
KW - warrants
KW - delta-hedging
KW - portfolio
KW - Frankfurt Stock Exchange
KW - transaction costs
N2 - The aim of this paper is to show how delta-hedging in relation to portfolio rebalancing works on real financial markets with an emphasis on situation on European stock exchanges. The motivation for this research is to gain knowledge for investing in real markets more effectively than just by using theoretical methods. In previous research we have found out that during the process of delta-hedging with no rebalancing 70 percent of risk may be avoided when we omit transaction costs; in current research we achieved other interesting results under the terms of transaction costs and different frequency of rebalancing which were added to the model. We constructed 30 portfolios consisting of American style plain vanilla call warrants and correspondent amount of underlying shares. We compared one week and two weeks period of rebalancing with no rebalancing.
ER -
FLORIANOVÁ, Hana. How often rebalance delta-hedged portfolios? In \textit{7th International Conference Economic Challanges in Enlarged Europe}. Tallinn: Tallinn University of Technology, 2015, p.~1-9. ISSN~2382-6797.
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