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Applications of derivatives for portfolio risk management

Author

Listed:
  • Vineer Bhansali

    (LongTail Alpha LLC)

  • Frank J. Fabozzi

    (Johns Hopkins University)

  • Robert Harlow

    (T. Rowe Price Group, Inc., and T. Rowe Price Associates, Inc)

  • Adam Kobor

    (New York University Investments Office)

  • Joseph Niehaus

    (Jefferies | Credit Union Financial Services (CUFS) Group)

  • Christopher Small

    (Windham Capital Management)

  • Andrew Weisman

    (Windham Capital Management)

Abstract

In this article, five in-depth illustrations of practical applications of various derivatives for risk control for asset management are provided. The illustrations are presented using stock index futures, interest-rate derivatives (Treasury futures and interest rate swaps), options, and equity swaps. The cases presented bridge the gap between theoretical finance and practical application, making it invaluable for those involved in risk management for portfolio managers.

Suggested Citation

  • Vineer Bhansali & Frank J. Fabozzi & Robert Harlow & Adam Kobor & Joseph Niehaus & Christopher Small & Andrew Weisman, 2024. "Applications of derivatives for portfolio risk management," Journal of Asset Management, Palgrave Macmillan, vol. 25(6), pages 552-578, October.
    • Handle: RePEc:pal:assmgt:v:25:y:2024:i:6:d:10.1057_s41260-024-00365-0
    DOI: 10.1057/s41260-024-00365-0
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