Shortfall risks and excess chances of optioned-based rollover hedge-strategies with respect to alternative target returns : empirical evidence from the German stock market


Adam, Michael ; Albrecht, Peter ; Maurer, Raimond


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URL: http://ub-madoc.bib.uni-mannheim.de/272
URN: urn:nbn:de:bsz:180-madoc-2723
Document Type: Working paper
Year of publication: 1996
Publication language: English
Institution: Business School > Sonstige - Fakultät für Betriebswirtschaftslehre
MADOC publication series: Lehrstuhl für ABWL, Risikotheorie, Portfolio Management und Versicherungswirtschaft (Albrecht) > Mannheimer Manuskripte zu Risikotheorie, Portfolio Management und Versicherungswirtschaft
Subject: 330 Economics
Subject headings (SWD): Aktienmarkt , Hedging
Abstract: Continuing the research of an earlier AFIR-paper, we examine on the basis of a (partially) historical simulation approach return and risk of various rollover option strategies (put hedge; covered short call; collar). In addition to measures of shortfall risks we propose measures of excess returns (with respect to the same target) and analyse as well the consequences of alternative target returns on the shortfall risks resp. the excess chances. Finally we try to identify dominance relations between the different types of option stategies.
Translation of the abstract: Les auteurs continuent leurs recheres, présenté au dernier colloque d'AFIR. Sur la base d'une simulation (partiellement) historique, ils evaluent le possibilités et risques des stratégies de hedging par options (put hedge, covered short call, collar). Les critères d'evaluation des risques mentionnés sont: shortfall probabilité, shortfall moyenne et shortfall variance. Les critères d'evaluation des possibilités sont: rendement moyen, excess probabilité, excess moyenne et excess variance. Enfin les auteurs essaient d'identifier des relations déterminantes entre les differents types des stratégies de hedging par options. (French)
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Adam, Michael ; Albrecht, Peter ; Maurer, Raimond (1996) Shortfall risks and excess chances of optioned-based rollover hedge-strategies with respect to alternative target returns : empirical evidence from the German stock market. Open Access [Working paper]
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