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master's thesis
Strategije živičenja indeksiranih portfelja dionica opcijama na indekse
Zagreb: University of Zagreb, Faculty of Economics and Business, 2019. urn:nbn:hr:148:362816
Jelić, Mihaela
University of Zagreb
Faculty of Economics and Business
Department of Mathematics

Institutional repository: REPEFZG

Cite this document

Jelić, M. (2019). Strategije živičenja indeksiranih portfelja dionica opcijama na indekse (Master's thesis). Zagreb: University of Zagreb, Faculty of Economics and Business. Retrieved from https://urn.nsk.hr/urn:nbn:hr:148:362816

Jelić, Mihaela. "Strategije živičenja indeksiranih portfelja dionica opcijama na indekse." Master's thesis, University of Zagreb, Faculty of Economics and Business, 2019. https://urn.nsk.hr/urn:nbn:hr:148:362816

Jelić, Mihaela. "Strategije živičenja indeksiranih portfelja dionica opcijama na indekse." Master's thesis, University of Zagreb, Faculty of Economics and Business, 2019. https://urn.nsk.hr/urn:nbn:hr:148:362816

Jelić, M. (2019). 'Strategije živičenja indeksiranih portfelja dionica opcijama na indekse', Master's thesis, University of Zagreb, Faculty of Economics and Business, accessed 07 January 2025, https://urn.nsk.hr/urn:nbn:hr:148:362816

Jelić M. Strategije živičenja indeksiranih portfelja dionica opcijama na indekse [Master's thesis]. Zagreb: University of Zagreb, Faculty of Economics and Business; 2019 [cited 2025 January 07] Available at: https://urn.nsk.hr/urn:nbn:hr:148:362816

M. Jelić, "Strategije živičenja indeksiranih portfelja dionica opcijama na indekse", Master's thesis, University of Zagreb, Faculty of Economics and Business, Zagreb, 2019. Available at: https://urn.nsk.hr/urn:nbn:hr:148:362816

Metadata
TitleStrategije živičenja indeksiranih portfelja dionica opcijama na indekse
Title (english)Indexed portfolio hedging using index options
AuthorMihaela Jelić
MentorMargareta Gardijan Kedžo (mentor)
Committee memberMargareta Gardijan Kedžo (predsjednik povjerenstva)
Committee memberBoško Šego (član povjerenstva)
Committee memberDavor Zoričić (član povjerenstva)
GranterUniversity of Zagreb
Faculty of Economics and Business
(Department of Mathematics)
Zagreb
Defense date and country2019-09-23, Croatia
Scientific / art field,
discipline and subdiscipline		SOCIAL SCIENCES
Economics
Quantitative Economics
Abstract
Indeksirani portfelj je sastavljen na način da odražava vrijednosne papire određenog tržišnog indeksa. Takvi portfelji ne pokušavaju pobijediti tržište već ostvariti prinos jednak tržištu, odnosno tržišnom indeksu. Opcije na indekse su financijske izvedenice koje daju imatelju pravo, ali ne i obvezu, kupiti ili prodati vezanu imovinu - indeks, po izvršnoj cijeni, na dan ili u razdoblju do istjecanja važenja. Kombinacijama osnovnih pozicija u opcijama na indekse, mogu se sastaviti strategije koje se koriste za živičenje indeksiranih portfelja dionica. U radu su opisane i analizirane četiri strategije živičenja indeksiranih portfelja opcijama na indekse pri različitim kretanjima tržišnog indeksa. Na primjerima su izračunati, opisani i grafički prikazani mogući dobitci i gubitci pojedinih strategija.
Abstract (english)
Indexed portfolio is composed to reflect the securities of a particular market index. Such portfolios are not trying to beat the market but to achieve a return equal to the market, i.e. to the market index. Index options are financial derivatives that give the buyers the right, but not the obligation, to buy or sell an underlying asset – an index, at a strike price, on or before the expiration date. Combining basic index options positions in a portfolio can lead to different strategies used for hedging indexed portfolios. This paper describes and analyzes four indexed portfolio hedging strategies using index options at different values of market index. Potential gains and losses of strategies are calculated using examples. Moreover, the strategies are described and graphically presented.
Keywords
Keywords (english)
Languagecroatian
URN:NBNurn:nbn:hr:148:362816
Study programmeTitle: Business Economics
Study programme type: university
Study level: graduate
Academic / professional title: magistar/magistra ekonomije (magistar/magistra ekonomije)
Type of resourceText
File originBorn digital
Access conditionsAccess restricted to students and staff of home institution
Terms of useLicence In copyright icon
Created on2019-09-24 12:33:22