Calibrating the Inputs of Optimal Portfolios Using CME Housing Futures
20 Pages Posted: 26 Nov 2012
Date Written: August 26, 2012
The trading volume of Chicago Mercantile Exchange (CME) housing futures remains thin despite efforts to increase the prevalence of pricing models and the derivation of optimal portfolios for households. We apply actual CME data to the theoretical models of Voicu and Seiler (2012) to demonstrate exactly how CME housing futures can be used based on a number of homeowners characteristics and tenure scenarios.
Keywords: Housing Derivatives, Optimal Portfolios, Hedging Strategies
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