Methods of Using Derivatives in Portfolio Management of Assets in the Stock Market

Student: Kuzminov Alexander

Educational Programme: Economics (Bachelor)

Final Grade: 7

Year of Graduation: 2018

For the successful asset management in the stock market, it is not enough to know what are the diversification and beta of portfolio. It is necessary to have a system of criteria and sufficient means for optimal portfolio management, and the most common way is to use the CVAR (Conditional Value at Risk). In this paper, we consider how to optimize the hedging position of a real portfolio in the Russian stock market. Delta-normal and historical methods are implemented for evaluation of CVAR.

Full text (added May 14, 2018)

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