replicating portfolio การใช้

• Replicating portfolios can be set up to replicate such options and guarantees.
• This ensures that the discounted replicating portfolio process is a Martingale under risk neutral conditions.
• In practice, replicating portfolios are seldom, if ever, " exact " replications.
• Since these exposures theoretically represent percentages of a replicating portfolio, we often apply the following constraints:
• It may be easier to value the replicating portfolio than to value the underlying feature ( options and guarantees ).
• Therefore, a standard way of choosing the derivative " I " consists in choosing a replicating portfolios of options for " H ".
• One possible approach, and one that is gaining increasing attention, is the use of " replicating portfolios " or " hedge portfolios ".
• The notion of a replicating portfolio is fundamental to rational pricing, which assumes that market prices are arbitrage-free  concretely, arbitrage opportunities are exploited by constructing a replicating portfolio.
• The notion of a replicating portfolio is fundamental to rational pricing, which assumes that market prices are arbitrage-free  concretely, arbitrage opportunities are exploited by constructing a replicating portfolio.
• This model allows a custom benchmark for each portfolio to be developed, using the linear combination of style indices that best replicate portfolio style allocation, and leads to an accurate evaluation of portfolio alpha.
• The market price of those two instruments ( that is, the cost of buying this simple replicating portfolio ) might be $ 145-and therefore the value of the cashflows is also taken to be $ 145 ( as opposed to the face value of the total cash flows at the conclusion of the 7 years, which is $ 162 ).