衍生工具在投资组合风险管理中的应用

IF 1.5 Q3 BUSINESS, FINANCE Journal of Asset Management Pub Date : 2024-09-17 DOI:10.1057/s41260-024-00365-0

Vineer Bhansali, Frank J. Fabozzi, Robert Harlow, Adam Kobor, Joseph Niehaus, Christopher Small, Andrew Weisman

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引用次数: 0

摘要

本文提供了五个深入浅出的例子，说明各种衍生工具在资产管理风险控制中的实际应用。图例以股指期货、利率衍生品（国债期货和利率掉期）、期权和股票掉期为例。所介绍的案例弥合了金融理论与实际应用之间的差距，对于参与投资组合经理风险管理的人员来说非常有价值。

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Applications of derivatives for portfolio risk management

In this article, five in-depth illustrations of practical applications of various derivatives for risk control for asset management are provided. The illustrations are presented using stock index futures, interest-rate derivatives (Treasury futures and interest rate swaps), options, and equity swaps. The cases presented bridge the gap between theoretical finance and practical application, making it invaluable for those involved in risk management for portfolio managers.

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来源期刊

Journal of Asset Management BUSINESS, FINANCE-

CiteScore

4.10

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0.00%

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期刊介绍： The Journal of Asset Management covers:new investment strategies, methodologies and techniquesnew products and trading developmentsimportant regulatory and legal developmentsemerging trends in asset managementUnder the guidance of its expert Editors and an eminent international Editorial Board, Journal of Asset Management has developed to provide an international forum for latest thinking, techniques and developments for the Fund Management Industry, from high-growth investment strategies to modelling and managing risk, from active management to index tracking. The Journal has established itself as a key bridge between applied academic research, commercial best practice and regulatory interests, globally.Each issue of Journal of Asset Management publishes detailed, authoritative briefings, analysis, research and reviews by leading experts in the field, to keep subscribers up to date with the latest developments and thinking in asset management.Journal of Asset Management covers:asset allocation hedge fund strategies risk definition and management index tracking performance measurement stock selection investment methodologies and techniques portfolio management and weighting product development and innovation active asset management style analysis strategies to match client profiles time horizons emerging markets alternative investments derivatives and hedging instruments pensions economics

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