Portfolio insurance with Nikkei stock average futures.
The objective of this research is to develop a portfolio insurance model based on the option-pricing model, for protecting a Japanese equity portfolio through the use of the Nikkei Stock Average Futures traded in SIMEX.
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| Format: | Research Report |
| Published: |
2008
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| Online Access: | http://hdl.handle.net/10356/8085 |
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| Institution: | Nanyang Technological University |
| Summary: | The objective of this research is to develop a portfolio insurance model based on the option-pricing model, for protecting a Japanese equity portfolio through the use of the Nikkei Stock Average Futures traded in SIMEX. |
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