Applications of equity derivatives to portfolio management

Eddie C. Cheng, Frank J. Fabozzi (), Robert Harlow, Wai Lee and Shaojun Zhang
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Eddie C. Cheng: Allspring Global Investments
Frank J. Fabozzi: Johns Hopkins University
Robert Harlow: T. Rowe Price Group, Inc., and T. Rowe Price Associates, Inc
Wai Lee: Allspring Global Investments

Journal of Asset Management, 2024, vol. 25, issue 6, No 5, 589-599

Abstract: Abstract This article provides real-world applications of equity derivatives in portfolio management, providing a practical approach that transcends the theoretical focus often found in academic literature and derivatives textbooks. The three primary applications include using stock index futures for effective liquidity management, employing cash equitization strategies with futures to optimize cash holdings, and utilizing options to assess and manage event-driven market risks. Each application provides detailed real-world cases, demonstrating how these derivatives serve as essential tools for portfolio managers in enhancing performance and aligning with strategic investment goals.

Keywords: Equity derivatives; Stock index futures; Cash equitization strategy; Liquidity management; Credit default swaps; Event-driven market risks (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1057/s41260-024-00367-y

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