Optimal Derivatives Strategies with Discrete Rebalancing
Zusammenfassung
In this article, we determine the optimal investmentstrategy with derivatives for discrete rebalancing intervals.We find that the investor buys a more conservativeportfolio and strongly reduces his exposure tovolatility compared to the continuous-time case. Thisleads to much less extreme positions in the derivatives.Even with monthly rebalancing, the investorcan nevertheless realize up to almost two-thirds ofthe utility gain from option trading in continuoustime. Variance contracts are useful due to their stable exposures to volatility and jump risk.
Schlüsselwörter
Asset Allocation; Discrete Trading; Use of Derivatives
Zitieren als
Branger, N., Breuer, B., & Schlag, C. (2008). Optimal Derivatives Strategies with Discrete Rebalancing. Journal of Derivatives, 16(2), 67–84.Details
Publikationstyp
Forschungsartikel (Zeitschrift)
Begutachtet
Ja
Publikationsstatus
Veröffentlicht
Jahr
2008
Fachzeitschrift
Journal of Derivatives
Band
16
Ausgabe
2
Erste Seite
67
Letzte Seite
84
Sprache
Englisch
ISSN
1074-1240
DOI
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