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  • 4315 Written Project 3 Report Hedge Portfolio

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    Victor Marcos Hyslop
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    This document discusses hedging strategies for investment portfolios. It analyzes the downside risk of portfolios using a value at risk measure to determine the optimal number of future contracts needed to fully hedge each portfolio. The document then measures the actual value of the portfolios with and without hedging positions using data from 2020 to date.

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    UTEP Finance 4315 Written Report 3

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    4315 written project 3 report hedge portfolio

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    This document discusses hedging strategies for investment portfolios. It analyzes the downside risk of portfolios using a value at risk measure to determine the optimal number of future contracts needed to fully hedge each portfolio. The document then measures the actual value of the portfolios with and without hedging positions using data from 2020 to date.

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    © All Rights Reserved
    Download as DOCX, PDF, TXT or read online from Scribd
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    43 views2 pages

    4315 Written Project 3 Report Hedge Portfolio

    Uploaded by

    Victor Marcos Hyslop
    This document discusses hedging strategies for investment portfolios. It analyzes the downside risk of portfolios using a value at risk measure to determine the optimal number of future contracts needed to fully hedge each portfolio. The document then measures the actual value of the portfolios with and without hedging positions using data from 2020 to date.

    Copyright:

    © All Rights Reserved
    Download as DOCX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    of 2

    Portfolio Hedging

    By

    Victor Marcos Hyslop

    April 3, 2020

    Finance 4315A

    CRN: 26486

    Executive Summary:

    Word Count
    1. Introduction:

    A hedge position within a portfolio is a vehicle security to mitigate the risk of extreme

    negative outcomes occurring. A hedge position can be seen as a put option, as the investor pays

    in order to benefit from a particular negative outcome. This project, “Project 3”, analyzes how

    much value of each of the portfolios is in downside risk with the raw value at risk measure

    (VaR). Next, the optimal number of future contracts than need to be bought or shorted is

    determined in order to fully hedge the portfolio. Furthermore, the actual results are measured in

    value of the portfolios are measured with and without the hedge position (contract positions).

    Actual results are analyzed using the 2020 year-to-date period.

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