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master's thesis
Testiranje "hedging" strategija dioničkog portfelja za vrijeme pandemije
Zagreb: University of Zagreb, Faculty of Economics and Business, 2021. urn:nbn:hr:148:767832
Metelko, Matej
University of Zagreb
Faculty of Economics and Business
Department of Managerial Economics

Institutional repository: REPEFZG

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Metelko, M. (2021). Testiranje "hedging" strategija dioničkog portfelja za vrijeme pandemije (Master's thesis). Zagreb: University of Zagreb, Faculty of Economics and Business. Retrieved from https://urn.nsk.hr/urn:nbn:hr:148:767832

Metelko, Matej. "Testiranje "hedging" strategija dioničkog portfelja za vrijeme pandemije." Master's thesis, University of Zagreb, Faculty of Economics and Business, 2021. https://urn.nsk.hr/urn:nbn:hr:148:767832

Metelko, Matej. "Testiranje "hedging" strategija dioničkog portfelja za vrijeme pandemije." Master's thesis, University of Zagreb, Faculty of Economics and Business, 2021. https://urn.nsk.hr/urn:nbn:hr:148:767832

Metelko, M. (2021). 'Testiranje "hedging" strategija dioničkog portfelja za vrijeme pandemije', Master's thesis, University of Zagreb, Faculty of Economics and Business, accessed 31 July 2024, https://urn.nsk.hr/urn:nbn:hr:148:767832

Metelko M. Testiranje "hedging" strategija dioničkog portfelja za vrijeme pandemije [Master's thesis]. Zagreb: University of Zagreb, Faculty of Economics and Business; 2021 [cited 2024 July 31] Available at: https://urn.nsk.hr/urn:nbn:hr:148:767832

M. Metelko, "Testiranje "hedging" strategija dioničkog portfelja za vrijeme pandemije", Master's thesis, University of Zagreb, Faculty of Economics and Business, Zagreb, 2021. Available at: https://urn.nsk.hr/urn:nbn:hr:148:767832

Metadata
TitleTestiranje "hedging" strategija dioničkog portfelja za vrijeme pandemije
Title (english)Testing hedging strategies on equity portfolio during the pandemic
AuthorMatej Metelko
MentorDavor Zoričić (mentor)
Committee memberDenis Dolinar (predsjednik povjerenstva)
Committee memberEna Pecina (član povjerenstva)
GranterUniversity of Zagreb
Faculty of Economics and Business
(Department of Managerial Economics)
Zagreb
Defense date and country2021-05-26, Croatia
Scientific / art field,
discipline and subdiscipline		SOCIAL SCIENCES
Economics
Economics of Entrepreneurship
Abstract
Rad prikazuje analizu i usporedbu kretanja vrijednosti portfelja vođenih odabranim hedging strategijama tijekom 2020. godine. Prije praćenja samih kretanja, određeni su optimalni udjeli dionica FAANG korporacija u hipotetskom dioničkom portfelju te je izračunat hedging omjer na temelju kojeg je hipotetski investitor zauzeo kratku, odnosno dugu poziciju u ročnicama na S&P 500 te VIX indeks koje koristi kao instrument hedginga. Analiza je pokazala da je tijekom pandemije, uz zadana ograničenja, najbolje vrijednost dioničkog portfelja zaštitila strategija zaštite vrijednosti kupnjom ročnica na indeks „straha“ – VIX te uz to ostvarila najbolji prinos, gledajući apsolutno i relativno.
Abstract (english)
The paper presents analysis and comparison of portfolios that were managed using selected hedging strategies during 2020. Before analyzing portfolios, the hypothetical investor determined optimal shares of FAANG stocks in his portfolio and calculated hedging ratio, based on which he took a short or long position in the S&P 500 and the VIX index futures, futures that were used in this paper as a hedging instrument. The analysis showed that during the first year of the pandemic, with given constraints, the best hedging strategy was taking a long position in VIX index. Also, the same strategy had the best performance during 2020, both in absolute and relative terms.
Keywords
Keywords (english)
Languagecroatian
URN:NBNurn:nbn:hr:148:767832
Study programmeTitle: Business Economics
Study programme type: university
Study level: integrated undergraduate and graduate
Academic / professional title: magistar/magistra ekonomije (magistar/magistra ekonomije)
Type of resourceText
File originBorn digital
Access conditionsOpen access
Embargo expiration date: 2022-06-02
Terms of useLicence In copyright icon
Created on2021-06-01 18:35:57