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Results tagged with index
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user 59183
An index is a reference portfolio that can be used, either to benchmark the performance of an investment strategy, either to create products (Futures, Structured Products).
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Unitise an options portfolio
Suppose I have a portfolio of European index options (long call, short put) and risk free assets (buy bank bills) to create a synthetic long index position. … Suppose also that I wish to create a short index portfolio (short calls, long puts and sell bank bills). Is there literature describing how such a portfolio might be unitised? …
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