Log in

Relevant bibliographies by topics / Naiv hedge

Contents

Journal articles
Dissertations / Theses
Books

Academic literature on the topic 'Naiv hedge'

Author: Grafiati

Published: 4 June 2021

Last updated: 2 February 2022

Create a spot-on reference in APA, MLA, Chicago, Harvard, and other styles

Select a source type:

Consult the lists of relevant articles, books, theses, conference reports, and other scholarly sources on the topic 'Naiv hedge.'

Next to every source in the list of references, there is an 'Add to bibliography' button. Press on it, and we will generate automatically the bibliographic reference to the chosen work in the citation style you need: APA, MLA, Harvard, Chicago, Vancouver, etc.

You can also download the full text of the academic publication as pdf and read online its abstract whenever available in the metadata.

Journal articles on the topic "Naiv hedge"

1

Henker, Thomas. "Naive Diversification for Hedge Funds." Journal of Alternative Investments 1, no. 3 (1998): 33–38. http://dx.doi.org/10.3905/jai.1998.407860.

Full text

APA, Harvard, Vancouver, ISO, and other styles

2

Tejeda, Hernan, and Dillon Feuz. "Determining the effectiveness of optimal time-varying hedge ratios for cattle feeders under multiproduct and single commodity settings." Agricultural Finance Review 74, no. 2 (2014): 217–35. http://dx.doi.org/10.1108/afr-11-2013-0038.

Full text

Abstract:

Purpose – The purpose of this paper is to determine and contrast the risk mitigating effectiveness from optimal multiproduct time-varying hedge ratios, applied to the margin of a cattle feedlot operation, over single commodity time-varying and naive hedge ratios. Design/methodology/approach – A parsimonious regime-switching dynamic correlations (RSDC) model is estimated in two-stages, where the dynamic correlations among prices of numerous commodities vary proportionally between two different regimes/levels. This property simplifies estimation methods for a large number of parameters involved.

APA, Harvard, Vancouver, ISO, and other styles

3

Cao, Charles, Bradley A. Goldie, Bing Liang, and Lubomir Petrasek. "What Is the Nature of Hedge Fund Manager Skills? Evidence from the Risk-Arbitrage Strategy." Journal of Financial and Quantitative Analysis 51, no. 3 (2016): 929–57. http://dx.doi.org/10.1017/s0022109016000387.

Full text

Abstract:

AbstractTo understand the nature of hedge fund managers’ skills, we study the implementation of risk arbitrage by hedge funds using their portfolio holdings and comparing them with those of other institutional arbitrageurs. We find that hedge funds significantly outperform a naive risk-arbitrage portfolio by 3.7% annually on a risk-adjusted basis, whereas non–hedge fund arbitrageurs fail to outperform the benchmark. Our analysis reveals that hedge funds’ superior performance does not reflect fund managers’ ability to predict or affect the outcome of merger and acquisition deals; rather, hedge

APA, Harvard, Vancouver, ISO, and other styles

4

Brandon, Rajna Gibson, and Songtao Wang. "Liquidity Risk, Return Predictability, and Hedge Funds’ Performance: An Empirical Study." Journal of Financial and Quantitative Analysis 48, no. 1 (2013): 219–44. http://dx.doi.org/10.1017/s0022109012000634.

Full text

Abstract:

AbstractThis article analyzes the effect of liquidity risk on the performance of equity hedge fund portfolios. Similarly to Avramov, Kosowski, Naik, and Teo (2007), (2011), we observe that, before accounting for the effect of liquidity risk, hedge fund portfolios that incorporate predictability in managerial skills generate superior performance. This outperformance disappears or weakens substantially for most emerging markets, event-driven, and long/short hedge fund portfolios once we account for liquidity risk. Moreover, we show that the equity market-neutral and long/short hedge fund portfol

APA, Harvard, Vancouver, ISO, and other styles

5

Kang, Seok Kyu. "The Unbiasedness and Hedging Effectiveness in KOSPI200 Futures Market." Journal of Derivatives and Quantitative Studies 15, no. 1 (2007): 73–100. http://dx.doi.org/10.1108/jdqs-01-2007-b0003.

Full text

Abstract:

This study is to examine the unblasedness hypothesis and hedging effectiveness in KOSPI20() futures market. The unbiasedness and efficiency hypothesis is carried out using a cointegration methodology. And hedging effectiveness is measured by comparing hedging performance of the naive hedge model, OLS hedge model. and constant correlation bivariate GARCH (1. 1) hedge model based on rolling windows. The sample period covers from May. 3. 1996 to December. 8, 2005. The empirical results are summarized as follows: First, there exists the cOintegrating relationship between realized spot prices and f

APA, Harvard, Vancouver, ISO, and other styles

6

Gupta, Kapil, and Mandeep Kaur. "Impact Of Financial Crisis On Hedging Effectiveness Of Futures Contracts: Evidence From The National Stock Exchange Of India." South East European Journal of Economics and Business 10, no. 2 (2015): 69–88. http://dx.doi.org/10.1515/jeb-2015-0009.

Full text

Abstract:

Abstract The present study examines the impact of the 2008 financial crisis on the hedging effectiveness of three index futures contracts traded on the National Stock Exchange of India for near, next and far month contracts over the sample period of January 2000 – June 2014. The hedge ratios were calculated using eight methods; Naive hedging, Ederington’s Model, Autoregressive Integrated Moving Average, Vector Autoregressive, Vector Error Correction Methodology, Generalized Autoregressive Conditional Heteroskedasticity, Exponential Generalized Autoregressive Conditional Heteroscedasticity and

APA, Harvard, Vancouver, ISO, and other styles

7

Benada, Luděk. "Comparison of the Impact of Econometric Models on Hedging Performance by Crude Oil and Natural Gas." Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis 66, no. 2 (2018): 423–29. http://dx.doi.org/10.11118/actaun201866020423.

Full text

Abstract:

The paper examines the performance of hedging spot prices in crude oil and natural gas. The subject of the research are spot prices of West Texas Intermediate and Henry Hub. The risk protection is provided by the application of futures contracts of underlying assets. In our analysis three econometric models (OLS, Copula, GARCH) and a naive portfolio are applied to obtain the optimal hedge ratio. Afterwards, the calculated weights for futures are verified for the ability to reduce the spot price risk over twelve months. The success of each model in risk reduction is measured over the test perio

APA, Harvard, Vancouver, ISO, and other styles

8

Chunghyo Hong. "An Empirical Study on Hedge Performance of Won/Euro Futures Markets : Naive, OLS, VECM vs ECT-GARCH(1,1) Model." Korean Journal of Financial Engineering 8, no. 1 (2009): 109–28. http://dx.doi.org/10.35527/kfedoi.2009.8.1.005.

Full text

APA, Harvard, Vancouver, ISO, and other styles

9

Axén, Gustav, and Dominic Cortis. "Hedging on Betting Markets." Risks 8, no. 3 (2020): 88. http://dx.doi.org/10.3390/risks8030088.

Full text

Abstract:

The possibility to use hedging strategies is an often neglected aspect in the literature on prediction/betting markets, as most papers assume that bettors will bet according to their beliefs about the probability of the outcome of the event, as opposed to the direction in which the odds will move. This ignores strategies that try to buy low and sell high through exploiting price changes, which is an important aspect to incorporate to fully understand market pricing. In this paper, we derive the key mathematical results in using hedging strategies through taking opposite positions to an initial

APA, Harvard, Vancouver, ISO, and other styles

10

Schneider, Lucas, and Johannes Stübinger. "Dispersion Trading Based on the Explanatory Power of S&P 500 Stock Returns." Mathematics 8, no. 9 (2020): 1627. http://dx.doi.org/10.3390/math8091627.

Full text

Abstract:

This paper develops a dispersion trading strategy based on a statistical index subsetting procedure and applies it to the S&P 500 constituents from January 2000 to December 2017. In particular, our selection process determines appropriate subset weights by exploiting a principal component analysis to specify the individual index explanatory power of each stock. In the following out-of-sample trading period, we trade the most suitable stocks using a hedged and unhedged approach. Within the large-scale back-testing study, the trading frameworks achieve statistically and economically signific

APA, Harvard, Vancouver, ISO, and other styles

Dissertations / Theses on the topic "Naiv hedge"

1

Blad, Oskar, and Robin Ferin. "Prishedge av svenska bostäder : Är det effektivt och vilka hinder för en marknad?" Thesis, Linköpings universitet, Nationalekonomi, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-151997.

Full text

Abstract:

Denna uppsats undersöker hur effektivt det vore att hedga svenska bostadspriser under tidsperioden 2005–2017 med hjälp av ett bostadsprisindex. Uppsatsen undersöker ickeperiodiserade och periodiserade hedgar genom tre olika hedgingstrategier i form av statisk, dynamisk och optimal hedge. Hedge ratios skattas via tre olika hedgingmetoder bestående av OLS, ECM och en naiv hedge. Genom att både använda ett nationellt och regionalt hedginginstrument analyseras skillnaden i hedgingeffektivitet i respektive region som hedgas. Hedgingeffektiviteterna bedöms i termer av reducerad varians vilket har fa

APA, Harvard, Vancouver, ISO, and other styles

2

Couts, Spencer. "Essays on the Risks and Returns of Illiquid Assets." The Ohio State University, 2019. http://rave.ohiolink.edu/etdc/view?acc_num=osu1572338606082428.

Full text

APA, Harvard, Vancouver, ISO, and other styles

Books on the topic "Naiv hedge"

1

Humor: [The KLF, Harald "Sack" Ziegler, Anti Folk New York, él Records, Sexton Ming, Naiv-Pop, Helge Schneider, Thomas Kapielski, Stand up-comedy, Queer Humor, Emocore? Humor?, Humor-Architektur ... Rezensionen. Ventil, 2002.

Find full text

APA, Harvard, Vancouver, ISO, and other styles

We offer discounts on all premium plans for authors whose works are included in thematic literature selections. Contact us to get a unique promo code!