To see the other types of publications on this topic, follow the link: Portfolio hedging.
Dissertations / Theses on the topic 'Portfolio hedging'
Create a spot-on reference in APA, MLA, Chicago, Harvard, and other styles
Consult the top 50 dissertations / theses for your research on the topic 'Portfolio hedging.'
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.
Browse dissertations / theses on a wide variety of disciplines and organise your bibliography correctly.
1
Shin, On-Myung. "Portfolio Diversifikation und Hedging /." Lohmar [u. a.] : Eul-Verl, 2003. http://www.gbv.de/dms/zbw/362368791.pdf.
Full text
2
Karlsson, Victor, Rikard Svensson, and Viktor Eklöf. "Contingent Hedging : Applying Financial Portfolio Theory on Product Portfolios." Thesis, Internationella Handelshögskolan, Högskolan i Jönköping, IHH, Företagsekonomi, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-18602.
Full textAbstract:
In an ever-changing global environment, the ability to adapt to the current economic climate is essential for a company to prosper and survive. Numerous previous re- search state that better risk management and low overall risks will lead to a higher firm value. The purpose of this study is to examine if portfolio theory, made for fi- nancial portfolios, can be used to compose product portfolios in order to minimize risk and optimize returns. The term contingent hedge is defined as an optimal portfolio that can be identified today, that in the future will yield a stable stream of returns at a low level of risk. For companies that might engage in costly hedging activities on the futures market, the benefits of creat- ing a contingent hedge are several. These include creating an optimized portfolio that minimizes risk and avoid trading contracts on futures markets that would incur hefty transaction costs and risks. Using quantitative financial models, product portfolio compositions are generated and compared with the returns and risks profile of individual commodities, as well as the actual product portfolio compositions of publicly traded mining companies. Us- ing Modern Portfolio Theory an efficient frontier is generated, yielding two inde- pendent portfolios, the minimum risk portfolio and the tangency portfolio. The Black-Litterman model is also used to generate yet another portfolio using a Bayesian approach. The portfolios are generated by historic time-series data and compared with the actual future development of commodities; the portfolios are then analyzed and compared. The results indicate that the minimum risk portfolio provides a signif- icantly lower risk than the compositions of all mining companies in the study, as well as the risks of individual commodities. This in turn will lead to several benefits for company management and the firm’s shareholders that are discussed throughout the study. However, as for a return-optimizing portfolio, no significant results can be found. Furthermore, the analysis suggests a series of improvements that could potentially yield an even greater result. The recommendation is that mining companies can use the methods discussed throughout this study as a way to generate a costless contin- gent hedge, rather than engage in hedging activities on futures markets.
3
Fu, Jun, and 付君. "Asset pricing, hedging and portfolio optimization." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2012. http://hub.hku.hk/bib/B48199345.
Full textAbstract:
Starting from the most famous Black-Scholes model for the underlying asset
price, there has been a large variety of extensions made in recent decades.
One main strand is about the models which allow a jump component in the
asset price. The first topic of this thesis is about the study of jump risk
premium by an equilibrium approach. Different from others, this work provides
a more general result by modeling the underlying asset price as the ordinary
exponential of a L?vy process. For any given asset price process, the equity
premium, pricing kernel and an equilibrium option pricing formula can be
derived. Moreover, some empirical evidence such as the negative variance risk
premium, implied volatility smirk, and negative skewness risk premium can
be well explained by using the relation between the physical and risk-neutral
distributions for the jump component.
Another strand of the extensions of the Black-Scholes model is about the
models which can incorporate stochastic volatility in the asset price. The second
topic of this thesis is about the replication of exponential variance, where
the key risks are the ones induced by the stochastic volatility and moreover it
can be correlated with the returns of the asset, referred to as leverage effect.
A time-changed L?vy process is used to incorporate jumps, stochastic volatility
and leverage effect all together. The exponential variance can be robustly
replicated by European portfolios, without any specification of a model for the
stochastic volatility.
Beyond the above asset pricing and hedging, portfolio optimization is also
discussed. Based on the Merton (1969, 1971)'s reduced portfolio optimization
and the delta hedging problem, a portfolio of an option, the underlying stock
and a risk-free bond can be optimized in discrete time and its optimal solution
can be shown to be a mixture of the Merton's result and the delta hedging
strategy. The main approach is the elasticity approach, which has initially
been proposed in continuous time.
In addition to the above optimization problem in discrete time, the same
topic but in a continuous-time regime-switching market is also presented. The
use of regime-switching makes our market incomplete, and makes it difficult to
use some approaches which are applicable in complete market. To overcome
this challenge, two methods are provided. The first method is that we simply
do not price the regime-switching risk when obtaining the risk-neutral probability.
Then by the idea of elasticity, the utility maximization problem can be
formulated as a stochastic control problem with only a single control variable,
and explicit solutions can be obtained. The second method is to introduce
a functional operator to general value functions of stochastic control problem
in such a way that the optimal value function in our setting can be given by
the limit of a sequence of value functions defined by iterating the operator.
Hence the original problem can be deduced to an auxiliary optimization problem,
which can be solved as if we were in a single-regime market, which is
complete.published_or_final_version
Statistics and Actuarial Science
Doctoral
Doctor of Philosophy
4
Suppakitjarak, Nathridee. "International portfolio diversification and hedging exchange rate risk." Thesis, University of Birmingham, 1998. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.668332.
Full text
5
Polat, Onur. "Dynamic Complex Hedging And Portfolio Optimization In Additive Markets." Master's thesis, METU, 2009. http://etd.lib.metu.edu.tr/upload/2/12610441/index.pdf.
Full textAbstract:
In this study, the geometric Additive market models are considered. In general, these market models are incomplete, that means: the perfect replication of derivatives, in the usual sense, is not possible. In this study, it is shown that the market can be completed by new artificial assets which are called &ldquopower-jump assets&rdquo
based on the power-jump processes of the underlying Additive process. Then, the hedging portfolio for claims whose payoff function depends on the prices of the stock and the power-jump assets at maturity is derived. In addition to the previous completion strategy, it is also shown that, using a static hedging formula, the market can also be completed by considering portfolios with a continuum of call options with different strikes and the same maturity. What is more, the portfolio optimization problem is considered in the enlarged market. The optimization problem consists of choosing an optimal portfolio in such a way that the largest expected utility of the terminal wealth is obtained. For particular choices of the equivalent martingale measure, it is shown that the optimal portfolio consists only of bonds and stocks.
6
Bär, Tobias. "Predicting and hedging credit portfolio risk with macroeconomic factors /." Hamburg : Kovac, 2002. http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=009735176&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA.
Full text
7
Mironenko, Georgy. "Problem of hedging of a portfolio with a unique rebalancing moment." Thesis, Högskolan i Halmstad, Tillämpad matematik och fysik (MPE-lab), 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-17357.
Full textAbstract:
The paper deals with the problem of finding an optimal one-time rebalancing strategy for the Bachelier model, and makes some remarks for the similar problem within Black-Scholes model. The problem is studied on finite time interval under mean-square criterion of optimality. The methods of the paper are based on the results for optimal stopping problem and standard mean-square criterion. The solution of the problem, considered in the paper, let us interpret how and - that is more important for us -when investor should rebalance the portfolio, if he wants to hedge it in the best way.
8
Shi, Yuan, and 石园. "A portfolio approach to procurement planning and risk hedging under uncertainty." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2010. http://hub.hku.hk/bib/B44905051.
Full text
9
Bouveret, Géraldine. "A contribution in hedging and portfolio optimisation under weak stochastic target constraints." Thesis, Imperial College London, 2016. http://hdl.handle.net/10044/1/33726.
Full textAbstract:
This thesis aims at investigating hedging and portfolio optimisation problems under weak stochastic target constraints. Our first contribution consists in the representation of the hedging price of some contingent claims under both probabilistic and expected shortfall ("weak") constraints holding on a set of dates. We consider a Markovian and complete market framework and favour a dual approach. This work is an extension to Föllmer and Leukert (1999,2000). We then extend the previous results to the case where the wealth process diffusion is semi-linear in the control/strategy variable. The previous convex duality machinery does not apply anymore and we rely on PDE arguments. Bouchard, Elie and Touzi (2009) already proved the PDE characterisation of such price functions but a comparison result, necessary to build a convergent numerical scheme, is still missing in the literature. We will prove that such a result actually holds. The main difficulty arises from the discontinuity of the operators involved in the PDE characterisation of the price function. An application to the quantile hedging of Bermudan options is provided. Our third contribution relies on the PDE characterisation of the problem of portfolio optimisation under a European quantile hedging constraint. We extend the results of Bouchard, Elie and Imbert (2010) to the case where the constraint holds in a weaker sense. The study is based on a reformulation of the initial constraint into an obstacle and almost-sure stochastic target one. This reduction is done by the introduction of an additional controlled state variable coming from the diffusion of the probability of reaching the target (see Bouchard, Elie and Touzi (2009)) and by means of the Geometric Dynamic Programming principle of Soner and Touzi (2002). However this additional controlled state variable raises non-trivial boundary conditions that have to be characterised. We also have to handle the discontinuity of the operators involved in the characterisation.
10
Moumouni, Zoulkiflou. "Modeling and hedging strategies for agricultural commodities." Thesis, Montpellier, 2016. http://www.theses.fr/2016MONTD047/document.
Full textAbstract:
Sur les marchés agricoles, les producteurs encourent les risques de prix et de production ainsi que d'autres types de risques liés aux aléas de production. Ces risques impactent l'activité du producteur et pourraient diminuer ses revenus. La mondialisation des marchés, en particulier ceux des matières premières agricoles, permet de développer une stratégie de couverture en utilisant des instruments comme les contrats à terme. Cependant, la situation selon laquelle une position basée seulement sur un contrat futures devrait couvrir tous les risques, entraîne un marché incomplet. Le producteur en recherche de meilleure stratégie de couverture pour ajouter un contrat d'assurance ou d'option pour garantir davantage ses revenus, surtout lorsque les rendements des cultures prévus diminuent. Nous étudions, ici les stratégies de couverture dans le cadre statique, ainsi que dans le cadre de temps continu. Avant, nous analysons le comportement des prix des matières premières agricoles en utilisant diverses approches statistiques afin de suggérer la modélisation des prix adéquate aux données. La stratégie de couverture statique comprend également le processus de retournement de positions qui pourrait entraîner d'autres risques supplémentaires en raison de l'écart entre les nouveaux contrats à terme et des contrats à terme à proximité ainsi que la couverture inter-culture. Nous proposons une stratégie de couverture qui combine des contrats futures et d'assurance. Comme la prise de décisions dans le cadre statique ne tient pas compte des mouvements quotidiens de prix le long de l'horizon de couverture, la stratégie de couverture optimale en temps continu combine des positions en contrat à terme et options tout en prenant en compte les sauts et la saisonnalité dans la dynamique des prixIn agricultural markets, producers incur price and production risks as well as other risks related to production contingencies. These risks impact the producer activity and could decrease his income. The globalization of markets, particularly those of agricultural commodities, provides hedging instruments including futures contracts which will serve to develop a hedging strategy. However, the situation whereby a single futures contract-based positions could offset many risks leads to incomplete market. Especially, an producer looking for better hedging strategy could also include insurance, option contract or mutual funds to further guarantee his income, specially when crop yields are lower than expected.vspace{0.25cm}We investigate the hedging strategies in static framework as well as in continuous time framework. Prior, we analyze the behavior of agricultural prices using various statistical approaches and suggest appropriate price modeling for data at hands. The static hedging strategy also accounts for rollover process which gives raise to additional risks due to spread between new futures and nearby futures and inter-crop hedging. We particularly address hedging strategy that combines futures and insurance contracts. Since decisions making in static framework does not include price changes along the hedging horizon, optimal hedging strategy in continuous time framework will take into account jumps and seasonality by combining futures and option contracts
11
Ozgen, Tolga. "Market efficiency and hedging foreign exchange risk : evidence from Turkey." Thesis, University of Aberdeen, 2014. http://digitool.abdn.ac.uk:80/webclient/DeliveryManager?pid=210802.
Full text
12
Poomimars, Ponladesh. "The performance of dynamic covariance models in portfolio allocation, hedging and risk management." Thesis, University of Birmingham, 2002. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.395728.
Full text
13
Ilerisoy, Mahmut Sa-Aadu Jarjisu. "Hedging out the mark-to market volatility for structured credit portfolios." Iowa City : University of Iowa, 2009. http://ir.uiowa.edu/etd/381.
Full text
14
Bosserhoff, Frank [Verfasser]. "Portfolio selection, delta hedging and robustness in Brownian and jump-diffusion models / Frank Bosserhoff." Ulm : Universität Ulm, 2020. http://d-nb.info/1206248602/34.
Full text
15
Culliname, Kevin Patrick Culliname. "The appication of modern portfolio theory to hedging in the dry bulk shipping markets." Thesis, University of Plymouth, 1989. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.232914.
Full text
16
Nilsson, Gabriel. "Implementing and testing possible hedging strategies to minimise value fluctuations in a defaulted portfolio." Thesis, Umeå universitet, Institutionen för fysik, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-160147.
Full textAbstract:
A Central Counterparty (CCP) handles clearing between its members and can mutualise and reduce the counterparty and credit risk in a network. In the case of a clearing member defaulting on its obligations, the defaulted portfolio will be taken over by the CCP, which will attempt to close out the positions as quickly as possible. It is vital that the CCP minimises the losses they may suffer during the period between default and close out, the so called holding period. This thesis investigates and tests several potential hedging strategies to minimise value fluctuations during the holding period. These include neutralising the exposure to different risk factors, as well as finding the ideal hedging position using principal component analysis. The defaulted portfolio can contain different instruments, such as options, interest rate swaps and bonds, which requires different approaches to neutralise exposure. To determine the performance of the different strategies, backtesting was performed on historical data from the years 2001 to 2013, and the results were analysed in order to determine the effectiveness and potential costs of the hedging. The results show that significant reduction in value fluctuations can be achieved by employing these strategies, while not exceeding an affordable level of cost. Based on the findings, a function was created in Java that can recommend optimal hedging positions given a defaulted portfolio of any composition.
17
Cullinane, Kevin Patrick Brendan. "The application of modern portfolio theory to hedging in the dry bulk shipping markets." Thesis, University of Plymouth, 1989. http://hdl.handle.net/10026.1/786.
Full textAbstract:
Risk and uncertainty have a vital impact on any business, but are particularly influential in the shipping industry. Although risk and uncertainty constitute the life-blood that courses through the veins of business, decision makers typically , attempt to reduce the risks , to which their decisions are subject. This is because there inevitably exists a level of risk which the decision maker is unwilling to accept. In May 1985 a new method of risk reduction in shipping became available through the introduction of BIFFEX - the Baltic International Freight Futures , Exchange. Participants in shipping can now hedge against their risks in the physical market by, taking a, position on the new futures market. This adds a new dimension to the situation as it existed before the introduction of BIFFEX, when the hedging of market risk was undertaken solely by holding alternative forms of physical contract. Typically, decision makers in shipping have formulated hedging strategies on the basis of ad hoc, inconsistent and subjectively judgemental criteria. This work is concerned with the optimization of the risk reduction process by integrating the different forms of market investment in a portfolio context. ,_ The methodology used is based on Modern Portfolio Theory (MPT). This provides a formal structure for the deduction of a subjectively optimal portfolio, in the sense that it yields the 'best' risk/return, trade-off in line with a decision maker's own attitude to risk. Previously, MPT has been applied solely to the determination of optimum portfolios of stocks and shares. The theory is, therefore, refined in accordance with the requirements of shipping. Similarly, the theory has previously only been applied to investors who are 'risk averse'. In this work, it is expanded to include those investors who are 'risk prone' or 'risk neutral'. The objective of the thesis is thus the successful implementation of MPT to allow the deduction of a subjectively optimal portfolio of shipping market investments.
18
Ilerisoy, Mahmut. "Hedging out the mark-to market volatility for structured credit portfolios." Thesis, University of Iowa, 2009. https://ir.uiowa.edu/etd/381.
Full textAbstract:
Credit derivatives are among the most criticized financial instruments in the current credit crises. Given their short history, finance professionals are still researching to discover effective ways to reduce the mark-to-market (MTM) volatility in credit derivatives, especially in turbulent market conditions.
Many credit portfolios have been struggling to find out appropriate tools and techniques to help them navigate the current credit crises and hedge mark-to-market volatility in their portfolios. In this study we provide a tool kit to help reduce the pricing fluctuations in structured credit portfolios utilizing data analysis and statistical methods.
In Chapter One we provide a snapshot of credit derivatives market by summarizing different types of credit derivatives; including single-name credit default swaps (CDS), market credit indices, bespoke portfolios, market index tranches, and bespoke tranches (synthetic CDOs).
In Chapter Two we illustrate a method to calculate a stable hedge ratio (beta) by combining industry practices and statistical techniques. Choosing an appropriate hedge ratio is critical for funds that desire to hedge mark-to-market volatility. Many credit portfolios suffered 40%-80% market value losses in 2008 and 2009 due to the mark-to-market volatility in their long positions. In this chapter we introduce ten different betas in order to hedge a long bespoke portfolio by liquid market indices. We measure the effectives of these betas by two measures: Stability and mark-to-market volatility reduction. Among all betas we present, we deduct that the following betas are appropriate to be used as hedge ratios: Implied Beta, Quarterly Regression Beta on Spread Levels, Yearly Regression Betas on Spread Levels, Up Beta, and Down Beta.
In Chapter Three we analyze the risk factors that impact the MTM volatility in CDS tranches; namely Spread Risk, Correlation Risk, Dispersion Risk, and Curve Risk. We focus our analysis in explaining the risks in the equity tranche as this is the riskiest tranche in the capital structure. We show that all four risks introduced are critical in explaining MTM volatility in equity tranches. We also perform multiple regression analysis to show the correlations between different risk factors. We show that, when combined, spread, correlation, and dispersion risks are the most important risk factors in analyzing MTM fluctuations in equity tranche. Curve risk can be used as an add-on risk to further explain local instances. After understanding various risk factors that impact the MTM changes in equity tranche, we put this knowledge to work to analyze two instances in 2008 in which we experienced significant spread widening in equity tranche. Both examples show that a good understanding of the risks that drive MTM changes in CDS tranches is critical in making informed trading decisions.
In Chapter Four we focus on two topics: Portfolio Stratification and Index Selection. While portfolio stratification helps us better understand the composition of a portfolio, index selection shows us which indices are more suitable in hedging long bespoke positions. In stratifying a portfolio we define Class-A as the widest credits, Class-B as the middle tier, and Class-C as the tightest credits in a credit portfolio. By portfolio stratification we show that Class-A has significant impact on the overall portfolio. We use five different risk measures to analyze different properties of the three classes we introduce. The risk measures are Sum of Spreads (SOS), Sigma/Mu, Basis Point Volatility (BPVOL), Skewness, and Kurtosis. For all risk measures we show that there is high correlation between Class-A and the whole portfolio. We also show that it is critical to monitor the risks in Class-A to better understand the spread moves in the overall portfolio. In the second part of Chapter Four, we perform analysis to find out which credit index should be used in hedging a long bespoke portfolio. We compare four credit indices for their ability to track the bespoke portfolio on spread levels and on spread changes. Analysis show that CDX.HY and CDX IG indices fits the best to hedge our sample bespoke portfolio in terms of spread levels and spread changes, respectively. Finally, we perform multiple regression analysis using backward selection, forward selection, and stepwise regression methods to find out if we should use multiple indices in our hedging practices. Multiple regression analysis show that CDX.HY and CDX.IG are the best candidates to hedge the sample bespoke portfolio we introduced.
19
Wang, Qian. "Modeling of contagion effects and their influence to the pricing and hedging of basket credit derivatives." Lohmar Köln Eul, 2005. http://deposit.ddb.de/cgi-bin/dokserv?id=2790901&prov=M&dok_var=1&dok_ext=htm.
Full text
20
Jansson, Thomas. "Essays on household portfolio choice." Doctoral thesis, Handelshögskolan i Stockholm, Finansiell Ekonomi (FI), 2009. http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-928.
Full text
21
Mbona, Innocent. "Portfolio risk measures and option pricing under a Hybrid Brownian motion model." Diss., University of Pretoria, 2017. http://hdl.handle.net/2263/64068.
Full textAbstract:
The 2008/9 financial crisis intensified the search for realistic return models, that capture
real market movements. The assumed underlying statistical distribution of financial returns
plays a crucial role in the evaluation of risk measures, and pricing of financial instruments.
In this dissertation, we discuss an empirical study on the evaluation of the traditional
portfolio risk measures, and option pricing under the hybrid Brownian motion model, developed
by Shaw and Schofield. Under this model, we derive probability density functions
that have a fat-tailed property, such that “25-sigma” or worse events are more probable. We then
estimate Value-at-Risk (VaR) and Expected Shortfall (ES) using four equity stocks listed on
the Johannesburg Stock Exchange, including the FTSE/JSE Top 40 index. We apply the historical
method and Variance-Covariance method (VC) in the valuation of VaR. Under the VC
method, we adopt the GARCH(1,1) model to deal with the volatility clustering phenomenon.
We backtest the VaR results and discuss our findings for each probability density function.
Furthermore, we apply the hybrid model to price European style options. We compare the
pricing performance of the hybrid model to the classical Black-Scholes model.Dissertation (MSc)--University of Pretoria, 2017.
National Research Fund (NRF), University of Pretoria Postgraduate bursary and the General Studentship bursary
Mathematics and Applied Mathematics
MSc
Unrestricted
22
Johnson, Larry A. "A comparison of optimum grain hedging strategies using commodity options and futures contracts: an application of portfolio theory." Diss., Virginia Polytechnic Institute and State University, 1986. http://hdl.handle.net/10919/49803.
Full text
23
Turkvatan, Aysun. "Completion Of A Levy Market Model And Portfolio Optimization." Master's thesis, METU, 2008. http://etd.lib.metu.edu.tr/upload/12609904/index.pdf.
Full textAbstract:
In this study, general geometric Levy market models are considered. Since these models are, in general, incomplete, that is, all contingent claims cannot be replicated by a self-financing portfolio consisting of investments in a risk-free bond and in the stock, it is suggested that the market should be enlarged by artificial assets based on the power-jump processes of the underlying Levy process. Then it is shown that the enlarged market is complete and the explicit hedging portfolios for claims whose payoff function depends on the prices of the stock and the artificial assets at maturity are derived. Furthermore, the portfolio optimization problem is considered in the enlarged market. The problem consists of choosing an optimal portfolio in such a way that the largest expected utility of the terminal wealth is obtained. It is shown that for particular choices of the equivalent martingale measure in the market, the optimal portfolio only consists of bonds and stocks. This corresponds to completing the market with additional assets in such a way that they are superfluous in the sense that the terminal expected utility is not improved by including these assets in the portfolio.
24
Liu, Guochun. "Value at risk models for a nonlinear hedged portfolio." Link to electronic thesis, 2004. http://www.wpi.edu/Pubs/ETD/Available/etd-0430104-155045.
Full text
25
Maximchuk, Oleg, and Yury Volkov. "Provisions estimation for portfolio of CDO in Gaussian financial environment." Thesis, Högskolan i Halmstad, Tillämpad matematik och fysik (MPE-lab), 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-16508.
Full textAbstract:
The problem of managing the portfolio provisions is of very high importance for any financial institution. In this paper we provide both static and dynamic models of provisions estimation for the case when the decision about provisions is made at the first moment of time subject to the absence of information and for the case of complete and incomplete information. Also the hedging strategy for the case of the defaultable market is presented in this work as another tool of reducing the risk of default. The default time is modelled as a first-passage time of a standard Brownian motion through a deterministic barrier. Some methods of numerical provision estimation are also presented.
26
McCarron, Sean. "Reducing exchange rate risk and exposure: The value of foreign exchange currency hedging strategies." CSUSB ScholarWorks, 2004. https://scholarworks.lib.csusb.edu/etd-project/2534.
Full textAbstract:
The topic researched for this project will be foreigh exchange hedging; the available forms, the uses, the procedures, and the value. This project will expand beyond the typical research and examine the value of hedging through the use of different foreign exchang currency trading strategies to small multinationational corporations.
27
Wang, Qian. "Modeling of contagion effects and their influence to the pricing and hedging of basket credit derivatives /." Lohmar [u.a.] : Eul, 2006. http://deposit.ddb.de/cgi-bin/dokserv?id=2790901&prov=M&dok_var=1&dok_ext=htm.
Full text
28
Oelofse, Rudolf P. "Die verskansing van 'n aandeleportefeulje deur gebruik te maak van opsie- en termynkontrakte." Thesis, Stellenbosch : Stellenbosch University, 2001. http://hdl.handle.net/10019.1/52233.
Full textAbstract:
Thesis (MBA)--Stellenbosch University, 2001.ENGLISH ABSTRACT: The objective of this study was to determine whether a number of hedging strategies, based on option and future contracts, can be implemented to hedge a share portfolio in a successful and cost-effective way during periods of market uncertainty. The study consists of two main sections, a review of the literature and an empirical survey. The review of the literature deals with the specifications of option and future contracts that trade on SAFEXand the use of option contracts to develop different hedging strategies. In the empirical survey the different hedging strategies were applied on a share portfolio of Rim over periods of three, six, nine and twelve months. The study yielded the following conclusions: o Call and put options can be combined in various ways to create different hedging strategies such as bear spread, straddle, strip, strangle and zero cost col/ar strateg ies. o By managing the option positions of the zero cost col/arstrategy actively, the portfolio can be hedged fully and cost effectively over any period. o The portfolio can be hedged fully and cost effectively over any period through the active management of future positions. The outcome of any hedging strategy ultimately depends on the assumptions and decisions made by the portfolio manager.
AFRIKAANSE OPSOMMING: Die doel van die studie was om te bepaal of 'n aantal verskansingstrategieë, wat op opsie- en termynkontrakte gebaseer is, suksesvol en kostedoeltreffend toegepas kan word om 'n aandeleportefeulje teen verwagte markdalings te beskerm. Die studie is in twee hoofafdelings verdeel, naamlik 'n teoretiese en empiriese ondersoek. Die teoretiese ondersoek handel oor die spesifikasies van opsie- en termynkontrakte wat op SAFEX verhandel en die gebruik van koop- en verkoopopsies om verskillende opsiestrategieë daar te stel. In die empiriese ondersoek is die verskillende verskansingstrategieë op 'n aandeleportefeulje van R1m oor 'n aantal tydperke van drie, ses, nege en twaalf maande getoets. Die volgende gevolgtrekkings kan uit die studie gemaak word: o Koop- en verkoopopsies kan in verskeie kombinasies gebruik word om verskillende verskansingstrategieë daar te stel. Voorbeelde van sulke strategieë is die bear spread-, straddle-, strip-, strangle- en zero cost collarstrategieë. o Deur die aktiewe bestuur van opsieposisies by die zero cost collar-strategie kan 'n portefeulje te alle tye ten volle verskans word. Die strategie is ook kostedoeltreffend . o Deur die aktiewe bestuur van termynkontrakte kan 'n aandeleportefeulje ook te alle tye ten volle en kostedoeltreffend verskans word. Die uiteindelike resultaat by die gebruik van termynkontrakte om 'n portefeulje te verskans, is soos by opsiekontrakte egter afhanklik van die aannames en besluite wat deur die portefeuljebestuurder geneem word.
29
Izadi, Selma. "Two Essays in Finance and Economics: “Investment Opportunities in Commodity and Stock Markets for G7 Countries” And “Global and Local Factors Affecting Sovereign Yield Spreads”." ScholarWorks@UNO, 2015. http://scholarworks.uno.edu/td/2087.
Full textAbstract:
In chapter 1, I investigate the return links and dynamic conditional correlations between the equity and commodity returns for G7 countries from 2000:01 to 2014:10. The commodity futures include BCOM Index which contains the futures and spot price of 22 commodities, Brent and Crude oil futures, gold and silver futures, Wheat, Corn and Soybean futures and CRB index. The finding indicates that during the full sample period GOLD, WHEAT and CORN have the smallest dynamic conditional correlations with all the Equity indexes. In addition, the correlations between the GOLD/Equity pairs are negative during the financial crisis. This fact indicates the benefit of hedging the stock portfolios with gold futures while we have stress in the financial markets.
The results from hedging effectiveness suggest that all the commodity/stock portfolios provide better diversification benefits than the stock portfolios. In average, including CRB, BCOM and GOLD futures to the stock portfolios have the highest hedging effectiveness ratios.
Chapter 2 investigates the impact of global and local variables on the Sovereign bond spreads for 22 developed countries in North America, Europe and Pacific Rim Regions, using monthly data from January 2010 to March 2015.
There are a few main findings of this chaper. First, the global factors are considerably more important in déterminant the sovereign bond spreads for all the regions. Second, for the bond spread of each region over its local government bond, the countries’ domestic fundamentals are found to be more influential determinants of the spreads, compared to the spread over US government bond as a safe haven government bond. Third, the bond spreads in the Eurozone area is less influenced by the global factors compared to the other regions. Fourth, the sovereign bond spreads of all regions are positively related to the US corporate high yield spreads as a proxy of market sentiment and the log of VIX index as measurement for the investor risk aversion. The coefficient of the log of VIX index shows the strong power of the stock market implied volatility on determining the yield spreads in the fixed income market.
30
Boileau, Olivier Joel Claude. "Precious metals, a shiny hedge for investors?" reponame:Repositório Institucional do FGV, 2016. http://hdl.handle.net/10438/15400.
Full textAbstract:
Submitted by Olivier Boileau (olivier.boileau@hotmail.fr) on 2016-02-18T13:44:30Z
No. of bitstreams: 1
Final-Report-FGV-by-Olivier-Boileau.pdf: 1435700 bytes, checksum: 5726e91bb0509cf4b3f5afd9acd70f3b (MD5)Approved for entry into archive by Ana Luiza Holme (ana.holme@fgv.br) on 2016-02-18T13:45:44Z (GMT) No. of bitstreams: 1 Final-Report-FGV-by-Olivier-Boileau.pdf: 1435700 bytes, checksum: 5726e91bb0509cf4b3f5afd9acd70f3b (MD5)
Made available in DSpace on 2016-02-18T13:53:32Z (GMT). No. of bitstreams: 1 Final-Report-FGV-by-Olivier-Boileau.pdf: 1435700 bytes, checksum: 5726e91bb0509cf4b3f5afd9acd70f3b (MD5) Previous issue date: 2016-02-19
Using regression and correlation approaches covering the last twenty years of daily data for seven countries, this thesis investigates safe haven and hedge abilities of precious metals against international equities over a given state of the economy. Furthermore, this thesis examines different portfolios performance in-samples and out-of-samples with the aim to observe whether investing in precious metals can help to mitigate investor risk management. The key results are: (i) Gold is the finest precious metal for international hedging against equities (ii) Gold provides valuable portfolio risk management benefits (iii) 60/40 portfolios allocated with gold proffer good investor outcomes.
Recorrendo a duas abordagens diferentes, regressão e correlação, e cobrindo os últimos vinte anos de dados diários para sete países, esta tese investiga as propriedades "safe haven" e "hedge" dos metais preciosos, em comparação com acções internacionais para um dado estado da economia. Adicionalmente, esta tese avalia o desempenho de diferentes portfolios, dentro e fora da amostra, com o objectivo de verificar se o investimento em metais preciosos poderá ajudar a atenuar a gestao do risco por parte do investidor. Os principais resultados são os que se seguem: (i) O ouro é o melhor metal precioso para um "hedging" internacional em oposição às acções (ii) O ouro permite obter valiosos benefícios de gestão de risco do portfolio (iii) 60/40 dos portofios atribuidos com ouro permitem ao investidor obter bons resultados.
31
Bui, Ba Tung, and Javier Jo. "Sustainable Bonds and Beyond: A Sustainable Alternative for Portfolio Diversification : An empirical study of sustainable bonds and existing asset classes from a volatility and correlation perspective in Sweden." Thesis, Umeå universitet, Företagsekonomi, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-172185.
Full textAbstract:
Increasing awareness of sustainable issues is just one of the ways how modern society has evolved. Due to the growing challenges faced by climate change and societal issues, our world has grown to be more innovative in the fight and support towards initiatives that will contribute to the long-term of the world we live in. Capitalists have exploited the resources, and as such, it is the economy where we can make the most significant changes to reverse the negative consequences. Responsible investment has incorporated various financial tools oriented towards the support of environmental, societal, and governance practices to revert the adverse effects brought on by capitalism. Sustainable bonds are a type of fixed income financial tool to support responsible investment practices. Their motive is to drive the financing of projects oriented towards positively contributing to the environment, society, and governance. Previous studies on the field of responsible investment have covered the topic of green bonds and, most recently, social bonds. Although this field is relatively new, much of the literature developed has focused on the financial returns of such fixed-income assets. This thesis is the first to attempt the study of a self-created Swedish Sustainable Bond index consisting of 156 sustainable bonds issued in the Swedish market in correlation to three other asset classes. General interests and a lack of research due to its contemporary issuance in this context brought us to study such relation of return characteristics with its conventional bond counterpart, the equity market, and the energy stock section all within the Swedish market. The objective, as such, was to determine whether such an instrument could be used as a diversification tool. For us to be able to conduct this study, we utilized the returns of each category’s indices. We applied different statistical models and tests, including correlation, univariate, and multivariate GARCH models, to be able to ensure robust results that could yield thought-provoking results for us to analyze. In conjunction with the Modern Portfolio Theory, we were able to determine that sustainable bonds provide investors with some diversification benefit by a positive correlation with the conventional bond and negative correlations with the equity and energy stock market. Volatility clustering and spillover effects within the Swedish sustainable bonds and the identified markets were also present. We went a step ahead and curious to explore whether the conventional bond market was better off than the sustainable bond market. Such results indicate that the conventional bond is still a better tool for diversification purposes with the other two asset classes selected in comparison to the Swedish Sustainable Bond. As such, we are still wishful that sustainable bonds could potentially change their behavior in the future as a diversification tool, as more regulations and standardization of such asset classes are implemented.
32
Tokošová, Blanka. "Optimalizace portfolia cenných papírů." Master's thesis, Vysoké učení technické v Brně. Fakulta podnikatelská, 2008. http://www.nusl.cz/ntk/nusl-221685.
Full textAbstract:
The aim of the diploma thesis is portfolio optimalization of middle-sized investor. His assets are placed into repo and shares. Shares are selected from the range of blue chips in czech and german stock market, that means from securities contained in PX index and DAX index. This selection is based on fundamental and technical analysis. The portfolio in foreign currency is hedge against downtrend of exchange rate by knock-out product. The final part of the thesis belongs to appreciation of assembled portfolio.
33
Lindermeir, Andreas [Verfasser], and Hans Ulrich [Akademischer Betreuer] Buhl. "Decision Support in IT and Risk: On the Economic Valuation of Strategic Decisions in IT Innovation Management, Credit Portfolio Management, and Hedging / Andreas Lindermeir ; Betreuer: Hans Ulrich Buhl." Augsburg : Universität Augsburg, 2016. http://d-nb.info/1119707080/34.
Full text
34
Law, Camilla, and Marja Vahlqvist. "Can Bitcoin be used as a hedge against the Swedish market? : Does Bitcoin have hedging capabilities against the OMXS30, or is it just a diversifier in a portfolio?" Thesis, Stockholms universitet, Finansiering, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:su:diva-153123.
Full textAbstract:
Bitcoin has gained more recognition than ever before, and the interest in cryptocurrencies seems to grow exponentially. Without any central government regulating Bitcoin, a global user group has adopted this new technology, which is designed to be used as a currency for trading without banks. Empirical studies focus on revealing the true characteristic of cryptocurrencies. Are they a currency, an asset or something else? This paper explores the potential of Bitcoin as a financial asset when used for hedging and portfolio diversification. A regression analysis will be performed to analyse if Bitcoin can be used as a hedge against OMXS30. This analysis yields insignificant values, which leads to a complication in the conclusion. The result imply that Bitcoin is an inadequate hedge, but may possess diversification properties. Studying Bitcoin in relation to OMXS30, Dow Jones, Nikkei 225, Gold and Oil results in correlation values close to zero. By using the mean-variance optimization method, two portfolios are created, one including and one excluding Bitcoin. We show that by including Bitcoin in the portfolio the risk can be decreased on a given return rate. Considering the low and insignificant correlation values with other assets and the better riskreturn ratio when Bitcoin is included in a portfolio, we conclude that Bitcoin can be a suitable diversification tool.
35
Lazier, Iuri. "Hedge de opção utilizando estratégias dinâmicas multiperiódicas autofinanciáveis em tempo discreto em mercado incompleto." Universidade de São Paulo, 2009. http://www.teses.usp.br/teses/disponiveis/12/12139/tde-11092009-103057/.
Full textAbstract:
Este trabalho analisa três estratégias de hedge de opção, buscando identificar a importância da escolha da estratégia para a obtenção de um bom desempenho do hedge. O conceito de hedge é analisado de forma retrospectiva e uma teoria geral de hedge é apresentada. Em seguida são descritos alguns estudos comparativos de desempenho de estratégias de hedge de opção e suas metodologias de implementação. Para esta análise comparativa são selecionadas três estratégias de hedge de opção de compra do tipo européia: a primeira utiliza o modelo Black-Scholes-Merton de precificação de opções, a segunda utiliza uma solução de programação dinâmica para hedge dinâmico multiperiódico e a terceira utiliza um modelo GARCH para precificação de opções. As estratégias são comentadas e comparadas do ponto de vista de suas premissas teóricas e por meio de testes comparativos de desempenho. O desempenho das estratégias é comparado sob uma perspectiva dinâmicamente ajustada, multiperiódica e autofinanciável. Os dados para comparação de desempenho são gerados por simulação e o desempenho é avaliado pelos erros absolutos médios e erros quadráticos médios, resultantes na carteira de hedge. São feitas ainda considerações a respeito de alternativas de estimação e suas implicações no desempenho das estratégias.This work analyzes three option hedging strategies, to identify the importance of choosing a strategy in order to achieve a good hedging performance. A retrospective analysis of the concept of hedging is conducted and a general hedging theory is presented. Following, some comparative papers of hedging performance and their implementation methodologies are described. For the present comparative analysis, three hedging strategies for European options have been selected: the first one based on the Black-Scholes-Merton model for option pricing, the second one based on a dynamic programming solution for dynamic multiperiod hedging and the third one based on a GARCH model for option pricing. The strategies are compared under their theoric premisses and through comparative performance testes. The performances of the strategies are compared under a dynamically adjusted multiperiodic and self-financing perspective. Data for performance comparison are generated by simulation and performance is evaluated by mean absolute errors and mean squared errors resulting on the hedging portfolio. An analysis is also done regarding estimation approaches and their implications over the performance of the strategies.
36
Payne, M. K. "Hedging and trading models for currency options portfolios." Thesis, Imperial College London, 1991. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.296907.
Full text
37
Assali, Nicolau Alfredo. "Análise de desempenho e características de fundos de fundos multigestores do mercado Brasileiro no período de setembro/1998 a agosto/2007." reponame:Repositório Institucional do FGV, 2008. http://hdl.handle.net/10438/2027.
Full textAbstract:
Made available in DSpace on 2010-04-20T21:00:30Z (GMT). No. of bitstreams: 4
nicolauassali.pdf.jpg: 21057 bytes, checksum: e49c3a73a969030bb30a7b487e8ddf77 (MD5)
nicolauassali.pdf: 745103 bytes, checksum: dcb827d78438926dd042deccffc5bab4 (MD5)
1_136970.pdf: 745134 bytes, checksum: 17ea1cc72a370b8ea2ba2cf6590ebe16 (MD5)
nicolauassali.pdf.txt: 258686 bytes, checksum: 416660ae630d51947f844cef8a94fb45 (MD5)
Previous issue date: 2008-02-13T00:00:00ZThis dissertation analyses the performance and features of some of the current Brazilian funds of funds, called multimanagers, as well as the performance of funds of funds as a result of the simulation of Brazilian funds portfolios that use several investment strategies known as multimarkets. The diversification through a multimarkets funds portfolio involves other variables beyond the traditional approach of mean-variance. The first part of this study presents the main features of the selected funds of funds and also describes more than the mean-variance, showing the third and fourth moments of the returns distribution. The second part uses the tool named Style Analysis (Sharpe, 1988) in order to determine the return exposure of each of the funds of funds of the sample to certain asset classes. In this study were chosen the following asset classes: Ibovespa, CDI, Dollar and IRF-M. Through the medium-variance approach, the third part of this study uses a tool known as the Portfolio Theory (Markowitz, 1952) as the minimum variance frontier, in order to evaluate the performance of each funds of funds in the given sample. The performance is evaluated on the comparison basis of the minimum variance frontier built from a benchmark portfolio (comprising two of the major Brazilian financial assets of low and high risk: CDI and Ibovespa, respectively) with another minimum variance frontier built from the addition of a fund of funds into the benchmark portfolio. The last part refers to simulations of multimarkets portfolio funds that allow the allocation of variable income in the portfolio and it also allows the use of leverage. The goal is to check through the return of the average values, variance, asymmetry and kurtosis, the efficiency of such funds as instruments of diversification. The outcomes show that the 32 multimanager funds of funds analyzed do not have normal return distribution and 29 ones present negative skewness behavior. The Style Analysis indicates high sensibility to CDI and IRF-M, and low sensibility to Ibovespa and Dollar, main financial market indexes. The majority of multimanager funds of funds improved the Minimum Variance Frontier when added to a reference portfolio (CDI + Ibovespa), in other words, there was a reduction on risk – return relation. The portfolio simulation indicates that in the last three years the multimarkets funds classified as Leveraged Variable Income has been more aggressive in the strategies due to the asymmetry behavior; however this kurtosis behavior indicates a position not too aggressive as well. So the construction of Funds portfolios that use several investment strategies should not be restraint to the mean-variance approach. It should also involve asymmetry, kurtosis and investor preferences.
Esta dissertação analisa o desempenho e as características de uma parte dos atuais fundos de fundos brasileiros, os denominados multigestores, bem como o desempenho de fundos de fundos resultantes da simulação de carteiras de fundos brasileiros que utilizam várias estratégias de investimentos, conhecidos como multimercados. A diversificação através de uma carteira de fundos multimercados envolve outras variáveis além da tradicional abordagem de média-variância. A primeira parte do estudo apresenta as principais características dos fundos de fundos selecionados e descreve, além da média e variância, o terceiro e quarto momentos das distribuições dos retornos. A segunda parte utiliza a ferramenta chamada Análise de Estilo (Sharpe, 1988), para determinar a exposição dos retornos de cada um dos fundos de fundos da amostra a determinadas classes de ativos. Neste trabalho foram escolhidas as seguintes classes de ativos: Ibovespa, CDI, Dólar e IRF-M. Através da abordagem de média-variância, a terceira parte do estudo utiliza a ferramenta conhecida na Teoria da Carteira (Markowitz, 1952) como fronteira de mínima variância, para avaliar o desempenho de cada um dos fundos de fundos da amostra. O desempenho é avaliado com base na comparação da fronteira de mínima variância construída a partir de uma carteira de referência (composta por dois dos principais ativos financeiros brasileiros de baixo e alto risco: CDI e Ibovespa, respectivamente) com outra fronteira de mínima variância construída a partir do acréscimo de um fundo de fundos à carteira de referência. A última parte refere-se a simulações de carteiras de fundos multimercados que permitem a alocação de renda variável na carteira e também permitem o uso de alavancagem. Seu objetivo é verificar, através dos valores de retorno médio, variância, assimetria e curtose, a eficiência desses fundos como instrumentos de diversificação. Os resultados mostram que os 32 fundos de fundos multigestores analisados não tem distribuição normal de retornos e 29 apresentam assimetria negativa. A Análise de Estilo indica grande sensibilidade ao CDI e ao IRF-M, e pouca sensibilidade ao Ibovespa e Dólar, importantes índices do mercado financeiro. A maioria dos fundos de fundos multigestores melhorou a Fronteira Eficiente quando adicionados a uma carteira de referência (CDI + Ibovespa), ou seja, houve uma redução na relação risco-retorno. A simulação das carteiras indica que nos últimos três anos os fundos multimercados classificados como Com Renda Variável Com Alavancagem tem sido mais agressivos nas estratégias, devido ao comportamento da assimetria, porém o comportamento da curtose indica também uma posição nem tão agressiva. Logo, a construção de carteiras com fundos que utilizam diversas estratégias de investimentos não deve se restringir à abordagem de média-variância. Deve também envolver também assimetria, curtose e preferências do investidor.
38
Matsumoto, Manabu. "Options on portfolios of options and multivariate option pricing and hedging." Thesis, Imperial College London, 2000. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.324627.
Full text
39
Kolesnichenko, Anna, and Galina Shopina. "Valuation of portfolios under uncertain volatility : Black-Scholes-Barenblatt equations and the static hedging." Thesis, Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE), 2007. http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-1634.
Full textAbstract:
The famous Black-Scholes (BS) model used in the option pricing theory
contains two parameters - a volatility and an interest rate. Both
parameters should be determined before the price evaluation procedure
starts. Usually one use the historical data to guess the value of these
parameters. For short lifetime options the interest rate can be estimated
in proper way, but the volatility estimation is, as well in this case,
more demanding. It turns out that the volatility should be considered
as a function of the asset prices and time to make the valuation self
consistent. One of the approaches to this problem is the method of
uncertain volatility and the static hedging. In this case the envelopes
for the maximal and minimal estimated option price will be introduced.
The envelopes will be described by the Black - Scholes - Barenblatt
(BSB) equations. The existence of the upper and lower bounds for the
option price makes it possible to develop the worse and the best cases
scenario for the given portfolio. These estimations will be financially
relevant if the upper and lower envelopes lie relatively narrow to each
other. One of the ideas to converge envelopes to an unknown solution
is the possibility to introduce an optimal static hedged portfolio.
40
Fulli-Lemaire, Nicolas. "Stratégies alternatives de couverture de l'inflation en ALM." Thesis, Paris 2, 2013. http://www.theses.fr/2013PA020013/document.
Full textAbstract:
La disparitions graduelle des peurs liées à l’inflation pendant l’ère de la «Grande Modération» macroéconomique est aujourd’hui chose révolue : la crise financière américaine des «Subprimes», la «Grande Récession» ainsi que la crise des dettes souveraines qui s’en est suivie ont abouti à un nouvel ordre économique caractérisé par une volatilité accrue de l’inflation, un accroissement des chocs dans les prix des matières premières et une défiance envers la qualité de la signature de certains émetteurs souverains pour n’en mentionner que trois caractéristiques. De la réduction des émissions de titres souverains indexés sur l’inflation aux taux réels négatifs jusqu’à de très longues maturités, cette nouvelle donne tend à mettre en péril aussi bien les stratégies conventionnelles de couvertures inflation que les stratégies directionnelles purement nominales . Cette thèse a pour but d’investiguer les effets de ces évènements qui ont changé la donne macro-financière et d’évaluer leurs conséquences en terme de couverture inflation aussi bien dans la gestion actif-passif des investisseurs institutionnels que sur l’épargne des particuliers. Trois stratégies alternatives de couverture sont proposées pour y faire faceGone are the days when inflation fears had receded under years of “Great Moderation” in macroeconomics. The US subprime financial crisis, the ensuing “Great Recession” and the sovereign debt scares that spread throughout much of the industrialized world brought about a new order characterized by higher inflation volatility, severe commodity price shocks and uncertainty over sovereign bond creditworthiness to name just a few. All of which tend to put in jeopardy both conventional inflation protected strategies and nominal unhedged ones: from reduced issues of linkers to negative long-term real rates, they call into question the viability of current strategies. This paper investigates those game changing events and their asset liability management consequences for retail and institutional investors. Three alternative ways to achieve real value protection are proposed
41
Davis, Mark, Walter Schachermayer, and Robert G. Tompkins. "Pricing, no-arbitrage bounds and robust hedging of installment options." SFB Adaptive Information Systems and Modelling in Economics and Management Science, WU Vienna University of Economics and Business, 2000. http://epub.wu.ac.at/340/1/document.pdf.
Full textAbstract:
An installment option is a European option in which the premium, instead of being paid up-front, is paid in a series of installments. If all installments are paid the holder receives the exercise value, but the holder has the right to terminate payments on any payment date, in which case the option lapses with no further payments on either side. We discuss pricing and risk management for these options, in particular the use of static hedges, and also study a continuous-time limit in which premium is paid at a certain rate per unit time. (author's abstract)Series: Report Series SFB "Adaptive Information Systems and Modelling in Economics and Management Science"
42
Lindquist, Max. "The properties of interest rate swaps : An investigation of the price setting of illiquid interest rates swaps and the perfect hedging portfolios." Thesis, KTH, Matematisk statistik, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-103176.
Full textAbstract:
The main purpose of this thesis is to analyze the properties of various types of simple interest rates swaps, investigate how they depend on the swap rates of the liquid instruments on the market and the OIS-rates, and analyze how an illiquid instrument should be priced and hedged. The price setting tool used by the Fixed Income division at SEB Merchant Banking has been analyzed, and simulations of the hedging portfolios have been done over a time span of one year. The conclusions have been that it is impossible to hedge against the convex OIS rate dependence of the analyzed swaps and that, thought it might seem like a good idea, a dynamic hedge will lead to a much worse outcome than a static hedge
43
Liu, Yi-Chen, and 劉奕辰. "Portfolio Selections under Hedging Consideration." Thesis, 2002. http://ndltd.ncl.edu.tw/handle/31564409711025273630.
Full textAbstract:
碩士中原大學
工業工程研究所
90
Portfolio selection and risk management had been the most important research fields in modern finance recently. Since the values (price) and risk (deviation) of assets of investors in the future are all uncertainty, investors will face more complex investment problems than usual. In this thesis, the modified Amount-MAD model was applied to select riskless portfolio and make correct investment decisions. Although the modified Amount-MAD model performs well, the portfolio that selected by it is still risky. To avoid the fluctuated risk, we formulate our Hedging Strategies that based on LPM0 and MAD concepts to solve the problem. At the end of this study, we evaluated our Hedging Strategies by using real historical data and compare that with conventional minimum-variance method. It demonstrates that our Hedging Strategies can provide a sophisticate investment tool for the investor or fund manager in the world.
44
Li, Cho-Hsing, and 李卓行. "Portfolio Selection with Futures Hedging." Thesis, 2002. http://ndltd.ncl.edu.tw/handle/42939309972611686475.
Full textAbstract:
碩士中原大學
工業工程研究所
90
Portfolio selection and risk management have become two significant studies in the territory of finance. For that the future price and risk of an asset are always uncertain, investors often encounter complicated situations when making their decisions. In this research, by using the concept of safety first, we provided two models for selecting portfolio, the return rate model and the price dierence model, to help selecting the stock which has the smallest downside risk for the investment. With combining of selling futures contracts, we could make it possible to avoid risk generated by market fluctuations. Moreover, we also measured the performances of the portfolios in consulting the historical data.
45
Lin, Mao-nan, and 林茂南. "Equity Portfolio Hedging with TAIEX Futures." Thesis, 1999. http://ndltd.ncl.edu.tw/handle/89535721423982799406.
Full textAbstract:
碩士銘傳大學
金融研究所
87
The introduction of TAIEX（Taiwan Stock Exchange Capitalization Weighted Stock Index） futures satisfies domestic investors’ demand of hedging purpose. The key point of this paper is therefore discussing how to use the tool efficiently. The paper examines and compares the hedge effectiveness of OLS model, ECM model, and bivariate GARCH (1,1) model, which are defined as direct-hedge models, and two-stage hedge model and dynamic two-stage hedge model with kalman filter. Except this, the paper also tries to find the relationship between portfolio characteristic and hedging effectiveness. The main empirical findings are as below. 1. In short hedge period, the performance of two-stage hedge model is better than direct-hedge model. In the case of 10 days hedge, we can find a significant variance reduction of two-stage model over direct hedge model. 2. The performance of two-stage hedge model can be improved by dynamic adjustment with kalman filter. In the case of 25 days and 40 days hedge, we can find a significant variance reduction of dynamic two-stage model over original two-stage hedge model. 3. In all models we compared, the dynamic two-stage hedge model has the highest average hedging effectiveness and lowest standard deviation. OLS model, ECM model and original two-stage hedge model are at the same level. 4. We can find significantly lower hedging effectiveness of bivariate GARCH (1,1) model. The adverse results in the past literature may be caused by the hedging effectiveness based on variance of return. 5. The portfolios’ degree of company size, EPS and turnover rate of trading volume can influence the difference between hedging effectiveness of using dynamic adjustment or not. These factors are helpful for design the hedging strategy.
46
Cachola, Marta Filipa de Almeida. "Dynamic hedging - comparing alternative hedging approaches for an interest rate derivatives portfolio." Master's thesis, 2013. http://hdl.handle.net/10362/120366.
Full textAbstract:
In this study, we compare a widely used delta-hedging strategy with a more complex delta-gamma-hedging approach when applied to an interest rate derivatives portfolio composed of interest rate swaps, caps, floors and swaptions. In order to replicate the portfolio, we use market traded futures contracts on German bunds with two different maturities, 15-and 30-years. Even though a delta-gamma-hedging should always be more accurate than a simple delta-hedging, we reveal a practical situation where that does not appear to happen. We suggest that two possible explanations for this result may be based on the instruments’ payoff nature.1
47
Chen, Po-Chieh, and 陳伯杰. "Hedging Effectiveness of Minimum Variance Hedging Portfolio： The Case of Brent Crude Oil." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/6gk4wh.
Full textAbstract:
碩士淡江大學
管理科學學系碩士班
102
The situations of international political and economic affect the crude oil price volatility dramatically. How to hedge for the crude oil price volatility is one of the main topic for the investors. The data of Brent crude oil spot and futures daily price cover the time-span from 2012 to 2014. Based on rolling window framework, this study investigated the hedging effectiveness of conditional minimum variance hedging portfolio of out-of-sample. The results show that the hedging effectiveness of variance, value at risk, expected shortfall and lower partial moments of the unhedging model, the navie model, the OLS model and the C-GARCH-BEKK(1,1) model for short and long hedged portfolios, and the hedging effectiveness is compared. The results showers that hedging effectiveness from out-of-sample method dominate the one from in-sample, and dynamic hedge is better than static hedge. The OLS model shows better hedging effectiveness in variance and LPM for short and long hedged portfolios. The C-GARCH-BEKK(1,1) model shows better hedging effectiveness in VaR and ES for short and long hedged portfolios. The results provide references to the investors in risk management.
48
Tazhitdinova, Alisa. "Quadratic Hedging with Margin Requirements and Portfolio Constraints." Thesis, 2010. http://hdl.handle.net/10012/5104.
Full textAbstract:
We consider a mean-variance portfolio optimization problem, namely, a problem of minimizing the variance of the final wealth that results from trading over a fixed finite horizon in a continuous-time complete market in the presence of convex portfolio constraints, taking into account the cost imposed by margin requirements on trades and subject to the further constraint that the expected final wealth equal a specified target value. Market parameters are chosen to be random processes adapted to the information filtration available to the investor and asset prices are modeled by Itô processes. To solve this problem we use an approach based on conjugate duality: we start by synthesizing a dual optimization problem, establish a set of optimality relations that describe an optimal solution in terms of solutions of the dual problem, thus giving necessary and sufficient conditions for the given optimization problem and its dual to each have a solution. Finally, we prove existence of a solution of the dual problem, and for a particular class of dual solutions, establish existence of an optimal portfolio and also describe it explicitly. The method elegantly and rather straightforwardly constructs a dual problem and its solution, as well as provides intuition for construction of the actual optimal portfolio.
49
Conover, James Allen. "Hedging foreign exchange risk with portfolio insurance strategies." 1989. http://catalog.hathitrust.org/api/volumes/oclc/28048128.html.
Full text
50
Liu, Chia-Chen, and 劉佳誠. "Dynamic Portfolio Hedging under Asymmetric and Basis Effects." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/33786594501666918494.
Full textAbstract:
碩士國立暨南國際大學
財務金融學系
96
This paper investigates the portfolio effect and the dynamic effect of portfolio hedging effectiveness. BEKK-GARCH (Baba-Engle-Kraft-Kroner) is used to model the dynamic covariance structure to calculate the minimum variance hedge ratios. The effects of asymmetries and basis are also investigated. Six metal commodities traded in the London Metal Exchange are used. Results show that portfolio hedging is superior to separate hedging for all cases. The asymmetry effect can’t increase hedging effectiveness. After adding the basis effect, hedging effectiveness is improved obviously.