@techreport{Michalik2009Hedging, abstract = {Fund Management
today uses the active and passive way to construct a portfolio.
Exchange Traded Funds (ETFs) are cheap instruments to cover the
passive managed part of the investment. ETFs exist for stock-,
bond- and commodity markets. In most cases the underlying of an
ETF is an Index. Besides the investment in ETFs, for some
markets, short ETFs are listed. Short ETFs allow funds manager
to earn in bearish markets and therefore, short ETFs offer a
competitive hedging possibility. To get some insights in the
value of short ETF as instrument for 'perfect' hedging,
empirical data of the German stock index DAX are used.
Obviously, using short ETF for hedging cannot completely
neutralize losses of the underlying instrument. The 'cross'
hedge of an individual portfolio by ShortDAX ETF depicted a
strong risk reduction. As risk measures, the variance, the
absolute deviation and some different target-shortfall
probabilities are applied. To find efficient portfolios for the