| dc.contributor.advisor | Laading, Jacob | nb_NO |
| dc.contributor.author | Svendsen, Susanne | nb_NO |
| dc.date.accessioned | 2014-12-19T13:57:30Z | |
| dc.date.available | 2014-12-19T13:57:30Z | |
| dc.date.created | 2010-09-02 | nb_NO |
| dc.date.issued | 2008 | nb_NO |
| dc.identifier | 347054 | nb_NO |
| dc.identifier | ntnudaim:4304 | nb_NO |
| dc.identifier.uri | http://hdl.handle.net/11250/258227 | |
| dc.description.abstract | Two different strategies, one dynamic and one static, were investigated on portfolios consisting of one long index and one long European put (at-the-money or 10% out-of-the-money). Three indices were considered: The MSCI World Index, the S&P 500 and the FTSE All-Share Index. The strategies were evaluated based on both performance and risk, and we found that close follow-up of the portfolios in general lead to reduction of the risks, but that it demanded a high level of liquidity and supervision. The investigation also indicated that at-the-money options are less risky than 10% out-of-the money options, and that the portfolio risk decreased the broader index used in the portfolio. | nb_NO |
| dc.language | eng | nb_NO |
| dc.publisher | Institutt for matematiske fag | nb_NO |
| dc.subject | ntnudaim | no_NO |
| dc.subject | SIF3 fysikk og matematikk | no_NO |
| dc.subject | Industriell matematikk | no_NO |
| dc.title | Analysis of Hedging Portfolios in Turbulent Markets | nb_NO |
| dc.type | Master thesis | nb_NO |
| dc.source.pagenumber | 88 | nb_NO |
| dc.contributor.department | Norges teknisk-naturvitenskapelige universitet, Fakultet for informasjonsteknologi, matematikk og elektroteknikk, Institutt for matematiske fag | nb_NO |
