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Financial Engineering PrinciplesA Unified Theory for Financial Product Analysis and Valuation phần 7

Chúng ta hãy giả sử một nhà đầu tư đang tìm kiếm để mua một lựa chọn cuộc gọi trên trung bình công nghiệp Dow Jones venience có thể tạo ra một chiến lược biến động chụp độc đáo. Bằng cách đi dài cả tương lai Kho bạc hóa đơn và phát hiện ra một hai năm Kho bạc, | 162 FINANCIAL ENGINEERING RISK MANAGEMENT AND MARKET ENVIRONMENT For the equity markets benchmarks are fairly well known. For example the Dow Jones Industrial Average DJIA or Dow is perhaps one of the best-known stock indexes in the world. Other indexes would include the Financial Times Stock Exchange Index or FTSE sometimes pronounced foot-see in the United Kingdom and the Nikkei in Japan. Other indexes in the United States would include the Nasdaq the Wilshire and the Standard Poor s S P 100 or 500. In the United States where there is a choice of indexes the index a portfolio manager uses is likely driven by the objectives of the particular portfolio being managed. If the portfolio is designed to outperform the broader market then the Dow might be the best choice. And if smaller capitalized stocks are the niche the so-called small caps then perhaps the Nasdaq would be better. And if it is a specialized portfolio such as one investing in utilities then the Dow Jones Utility index might be the ticket. Indexes are composed of a select number of stocks a fact that can be a challenge to portfolio managers. For example the Dow is composed of just 30 stocks. Considering that thousands of stocks trade on the New York Stock Exchange an equity portfolio manager may not want to invest solely in the 30 stocks of the Dow. Yet if it is the portfolio manager s job to match the performance of the Dow what could be easier than simply owning the 30 stocks in the index Remember that there are transaction costs associated with the purchase and sale of any stocks. Just to keep up with the performance of the Dow after costs requires an outperformance of the Dow before costs. How might this outperformance be achieved There are four basic ways. 1. Portfolio managers might own each of the 30 stocks in the Dow but with weightings that differ from the Dow s. That is they might hold more of those issues that they expect to do especially well better than the index while holding less of those