investments and portfolio management option futures markets

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1、Chapter22:FuturesMarketsChapterOpenerp.755PART  VIFUTURESANDFORWARDcontractsarelikeoptionsinthattheyspecifypurchaseorsaleofsomeunderlyingsecurityatsomefuturedate.Thekeydifferenceisthattheholderofanoptionisnotcompelledtobuyorsell,andwillnotdosoifthetradeisunprofitab

2、le.Afuturesorforwardcontract,however,carriestheobligationtogothroughwiththeagreed-upontransaction.   Aforwardcontractisnotaninvestmentinthestrictsensethatfundsarepaidforanasset.Itisonlyacommitmenttodaytotransactinthefuture.Forwardarrangementsarepartofourstudyofinve

3、stments,however,becausetheyofferpowerfulmeanstohedgeotherinvestmentsandgenerallymodifyportfoliocharacteristics.   ForwardmarketsforfuturedeliveryofvariouscommoditiesgobackatleasttoancientGreece.Organizedfuturesmarkets,though,arearelativelymoderndevelopment,datingon

4、lytothe19thcentury.Futuresmarketsreplaceinformalforwardcontractswithhighlystandardized,exchange-tradedsecurities.   Whilefuturesmarketshavetheirrootsinagriculturalproductsandcommodities,themarketstodayaredominatedbytradinginfinancialfuturessuchasthoseonstockindices

5、,interest-rate-dependentsecuritiessuchasgovernmentbonds,andforeignexchange.Themarketsthemselvesalsohavechanged,withtradingtodaylargelytakingplaceinelectronicmarkets.   Thischapterdescribestheworkingsoffuturesmarketsandthemechanicsoftradinginthesemarkets.Weshowhowfu

6、turescontractsareusefulinvestmentvehiclesforbothhedgersandspeculatorsandhowthefuturespricerelatestothespotpriceofanasset.Wealsoshowhowfuturescanbeusedinseveralrisk-managementapplications.Thischapterdealswithgeneralprinciplesoffuturemarkets.Chapter23describesspecifi

7、cfuturesmarketsingreaterdetail.22.1TheFuturesContractp.756Toseehowfuturesandforwardsworkandhowtheymightbeuseful,considertheportfoliodiversificationproblemfacingafarmergrowingasinglecrop,letussaywheat.Theentireplantingseason'srevenuedependscriticallyonthehighlyvolat

8、ilecropprice.Thefarmercan'teasilydiversifyhispositionbecausevirtuallyhisentirewealthistiedupinthecrop.   Themillerwhomustpurchasewheatforprocessi