Strategije živičenja indeksiranih portfelja dionica opcijama na indekse

master's thesis

• Title (english): Indexed portfolio hedging using index options
• Author: Mihaela Jelić
• Mentor: Margareta Gardijan Kedžo (mentor)
• Committee member: Margareta Gardijan Kedžo (predsjednik povjerenstva)
• Committee member: Boško Šego (član povjerenstva)
• Committee member: Davor Zoričić (član povjerenstva)
• Granter: University of Zagreb; Faculty of Economics and Business; (Department of Mathematics); Zagreb
• Defense date and country: 2019-09-23, Croatia
• Scientific / art field, discipline and subdiscipline: SOCIAL SCIENCES; Economics; Quantitative Economics

Abstract

Indeksirani portfelj je sastavljen na način da odražava vrijednosne papire određenog tržišnog indeksa. Takvi portfelji ne pokušavaju pobijediti tržište već ostvariti prinos jednak tržištu, odnosno tržišnom indeksu. Opcije na indekse su financijske izvedenice koje daju imatelju pravo, ali ne i obvezu, kupiti ili prodati vezanu imovinu - indeks, po izvršnoj cijeni, na dan ili u razdoblju do istjecanja važenja. Kombinacijama osnovnih pozicija u opcijama na indekse, mogu se sastaviti strategije koje se koriste za živičenje indeksiranih portfelja dionica. U radu su opisane i analizirane četiri strategije živičenja indeksiranih portfelja opcijama na indekse pri različitim kretanjima tržišnog indeksa. Na primjerima su izračunati, opisani i grafički prikazani mogući dobitci i gubitci pojedinih strategija.

Abstract (english)

Indexed portfolio is composed to reflect the securities of a particular market index. Such portfolios are not trying to beat the market but to achieve a return equal to the market, i.e. to the market index. Index options are financial derivatives that give the buyers the right, but not the obligation, to buy or sell an underlying asset – an index, at a strike price, on or before the expiration date. Combining basic index options positions in a portfolio can lead to different strategies used for hedging indexed portfolios. This paper describes and analyzes four indexed portfolio hedging strategies using index options at different values of market index. Potential gains and losses of strategies are calculated using examples. Moreover, the strategies are described and graphically presented.

• Keywords: tržišni indeks; portfelj; opcije; živičenje; strategija trgovanja
• Keywords (english): market index; portfolio; options; hedging; trading strategy
• Language: croatian
• URN:NBN: urn:nbn:hr:148:362816
• Study programme: Title: Business Economics; Study programme type: university; Study level: graduate; Academic / professional title: magistar/magistra ekonomije (magistar/magistra ekonomije)
• Type of resource: Text
• File origin: Born digital
• Access conditions: Access restricted to students and staff of home institution
• Created on: 2019-09-24 12:33:22