Portfolio Management in Economic Crises
An analysis of effective hedging strategies using exchange-traded options and futures for crisis management
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Beschreibung
In this book, Stefan Meyer empirically examines standardized futures trading strategies for their suitability in reducing systematic portfolio risk. To this end, he analyzes price, interest rate, and volatility data during the twelve largest financial and economic crises between 1987 and 2022.The findings show that—contrary to the arguments of neoclassical capital market theory—derivatives can, in general, provide tangible benefits in modern portfolio management. These benefits may include lower overall risk and/or higher returns at the end of the period. Overall, the results align more closely with the perspective of behavioral finance, which suggests that derivative financial instruments can help limit risks during crises and facilitate their efficient distribution among multiple market participants.
The author
Stefan Meyer is a certified and licensed stock exchange trader, Head Trader, and Supervisor at Deutsche Börse AG and Eurex in Frankfurt. He is currently responsible for derivatives trading on futures exchanges worldwide. He earned his Executive Doctorate in Business Administration (EDBA) under the supervision of Prof. Dr. Marco Heimann at the University of Lyon 3 Jean Moulin.
The translation was done with the help of artificial intelligence. A subsequent human revision was done primarily in terms of content.
This book is a translation of an original German edition. The translation was done with the help of artificial intelligence (machine translation by the service DeepL.com). A subsequent human revision was done primarily in terms of content, so that the book will read stylistically differently from a conventional translation.
In this book, Stefan Meyer empirically examines standardized futures trading strategies for their suitability in reducing systematic portfolio risk. To this end, he analyzes price, interest rate, and volatility data during the twelve largest financial and economic crises between 1987 and 2022.The findings show that—contrary to the arguments of neoclassical capital market theory—derivatives can, in general, provide tangible benefits in modern portfolio management. These benefits may include lower overall risk and/or higher returns at the end of the period. Overall, the results align more closely with the perspective of behavioral finance, which suggests that derivative financial instruments can help limit risks during crises and facilitate their efficient distribution among multiple market participants.
Crisis-Resilient Investment Framework Empirical Insights into Heading Effectiveness Bridging Theory and Practice in Derivatives Use
Autor*in
Stefan Meyer
Themen in »Portfolio Management in Economic Crises«
Derivatives Risk allocation Financial and economic crises Portfolio management Systematic market risk Derivatives trading strategies