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I0 John J Merrick Jr I988 Portfolio Insurance with Stock
Lawrence Harris 1989 The October 1987 SP 500 Stock
l4 David A Hsieh and Merton H Miller 1990 Margin
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adjustment analysis arbitrage position arbitrageurs assumed autocorrelation average Bang basis risk basket bid/ask bid/ask spread bond Canadian dollar cash market cash T-bill catastrophe Chicago Mercantile Exchange coefﬁcient component computed covariance currency futures deﬁned discretionary liquidity traders dividend Economics efﬁcient equation error estimation period Exchange expected ﬁnal Financial ﬁnd ﬁrst foreign currency forward pricing futures contract futures market futures retums Grammatikos hedge ratio hedging effectiveness hedging horizon index futures contract informed traders infrequent trading insurance futures intervals investment investors Journal of Finance losses margin requirements maturity measures of hedging mispricing nonsynchronous trading null hypothesis observed option Parameter percent portfolio insurance price changes proﬁtable pseudo T-bill random walk reﬂect regression reinsurance returns S&P 500 futures signiﬁcant signiﬁcantly speciﬁc standard deviation statistic stock index futures stock price T-bill Table theoretical trading day transaction costs underlying value function variable variance yield zero