Το υπόδειγμα αποτίμησης κεφαλαιακών στοιχείων με την χρήση δικαιωμάτων προαίρεσης

Γιαλλουράκης, Κοσμάς

Bachelor Dissertation

Author

Γιαλλουράκης, Κοσμάς

Date

2015

Abstract

This study examines the problem of pricing financial assets under investment constraints using the Capital Asset Pricing Model (CAPM). Particularly, under investment constraints that limit leverage and short selling, we end up with a pricing model, where the expected returns of any risky asset, is linearly correlated with the expected returns of the market portfolio and the expected returns of options, which are non-redundant assets and their risk cannot be hedged. A positive answer to the hypothesis of the project, means that derivatives are an important explanatory factor that needs to be taken under consideration in pricing models. Specifically, the study investigates whether the use of options instead of just their underlying asset, could lead to better results in an equilibrium model like the CAPM. From a theoretical stand point, the use of options as explanatory variables is highlighted when investors are under wealth constraints in the formation of their portfolios, a hypothesis that will also be used in this study. Data from the 2005 to 2013 time period will be used, a period with many fluctuations in the market, due to the recent financial crisis, as well as the recent growth to the financial assets prices. Furthermore, the returns of existing and new investment strategies will be calculated using statistical packages and programming tools.

Department

Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Χρηματοοικονομικής και Τραπεζικής Διοικητικής

Number of pages

Language

Greek

URI

https://dione.lib.unipi.gr/xmlui/handle/unipi/8691

Collections

Τμήμα Χρηματοοικονομικής και Τραπεζικής Διοικητικής

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