Calibrating the Inputs of Optimal Portfolios Using CME Housing Futures

20 Pages Posted: 26 Nov 2012

See all articles by Cristian Voicu

Cristian Voicu

Investment Technology Group

Michael Seiler

College of William and Mary - Finance

Date Written: August 26, 2012

Abstract

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

Suggested Citation

Voicu, Cristian and Seiler, Michael, Calibrating the Inputs of Optimal Portfolios Using CME Housing Futures (August 26, 2012). Available at SSRN: https://ssrn.com/abstract=2136617 or http://dx.doi.org/10.2139/ssrn.2136617

Cristian Voicu

Investment Technology Group ( email )

44 Farnsworth Street
9th Floor
Boston, MA 02210
United States

Michael Seiler (Contact Author)

College of William and Mary - Finance ( email )

VA
United States

HOME PAGE: http://mason.wm.edu/faculty/directory/seiler_m.php

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