Možnosti aplikace portfoliových hedgingových strategií

Abstract

The aim of this thesis is to find a suitable probability distribution, which is governed by the development of the financial assets and a comparison of two portfolio hedging strategies. The first part of the thesis includes the theoretical basis for the methods of hedging strategies, a characteristic description of financial derivatives and the Lagrange multiplier theorem. The second part, concerning the characteristics and determining the parameters of financial instruments, is divided into theoretical and practical part. Firstly there are described types of the probability distribution and then is also given attention to the determination of volatility and description of the Monte Carlo simulation method. In the practical part of this chapter are calculated the parameters of the financial instruments and there is also performed a test by which we can say that the probability distribution of all assets is close to the standardized Student's t-distribution. This probability distribution is then used for determination of the asset price developments via the Monte Carlo simulation. The third chapter is devoted to a comparison of two hedging strategies. It is compared in the terms of dynamics (static and dynamic hedging) minimum variance strategy. Hedging portfolio is composed of two risky shares and three forward contracts to different shares. Optimal number of forward contracts in the book is found by using the Lagrange multiplier theorem which takes into account correlations between all five shares. Based on the comparison of several parameters, for example standard deviation or expected value, is assessed better hedging strategy implemented by the dynamic hedging. Compared to a static hedging has a dynamic hedging much lower standard deviation and a slightly lower expected value.