Academic literature on the topic 'Selective hedging'
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Journal articles on the topic "Selective hedging"
Jankensgård. "Does Managerial Power Increase Selective Hedging? Evidence from the Oil and Gas Industry." Journal of Risk and Financial Management 12, no. 2 (April 24, 2019): 71. http://dx.doi.org/10.3390/jrfm12020071.
Full textBrown, Gregory W., Peter R. Crabb, and David Haushalter. "Are Firms Successful at Selective Hedging?*." Journal of Business 79, no. 6 (November 2006): 2925–49. http://dx.doi.org/10.1086/508004.
Full textBeltratti, Andrea, Andrea Laurant, and Stavros A. Zenios. "Scenario modelling for selective hedging strategies." Journal of Economic Dynamics and Control 28, no. 5 (February 2004): 955–74. http://dx.doi.org/10.1016/s0165-1889(03)00057-5.
Full textYun, Won-Cheol. "Selective hedging strategies for oil stockpiling." Energy Policy 34, no. 18 (December 2006): 3495–504. http://dx.doi.org/10.1016/j.enpol.2005.07.021.
Full textWon-Cheol, Yun. "Selective foreign exchange hedging for Korean importers." Journal of economic research 22, No. 1 (2017): 47–62.
Find full textKnill, April, Kristina Minnick, and Ali Nejadmalayeri. "Selective Hedging, Information Asymmetry, and Futures Prices*." Journal of Business 79, no. 3 (May 2006): 1475–501. http://dx.doi.org/10.1086/500682.
Full textSanda, Gaute Egeland, Eirik Tandberg Olsen, and Stein-Erik Fleten. "Selective hedging in hydro-based electricity companies." Energy Economics 40 (November 2013): 326–38. http://dx.doi.org/10.1016/j.eneco.2013.06.018.
Full textEun, Cheol S., and Bruce G. Resnick. "International equity investment with selective hedging strategies." Journal of International Financial Markets, Institutions and Money 7, no. 1 (April 1997): 21–42. http://dx.doi.org/10.1016/s1042-4431(97)00009-7.
Full textWorley, Ray E. "Effects of Hedging and Selective Limb Pruning of Elliott, Desirable, and Farley Pecan Trees under Three Irrigation Regimes." Journal of the American Society for Horticultural Science 110, no. 1 (January 1985): 12–16. http://dx.doi.org/10.21273/jashs.110.1.12.
Full textKiss, Gábor Dávid, Marianna Sávai, and Beáta Udvari. "Missing Data Bias on a Selective Hedging Strategy." Journal of Competitiveness 9, no. 1 (March 31, 2017): 5–19. http://dx.doi.org/10.7441/joc.2017.01.01.
Full textDissertations / Theses on the topic "Selective hedging"
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 textWang, 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 textWang, 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 textCotrim, Felipe Mascarenhas. "Um estudo sobre a capacidade de gestores de fundos multigestor adicionarem valor aos cotistas." reponame:Repositório Institucional do FGV, 2012. http://hdl.handle.net/10438/13475.
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With lhe increase of lhe number of assei managers and an even larger a number of investments alternatives in lhe Brazilian hedge fund industry, Fund of Hedge Funds became an alternative for investors planning to diversify their investments through financiai specialists. The intention of this study is to evaluate lhe capacity of Brazilian Funds of Hedge Funds (FoHF), classified as Multimercados Multigestor, to generate abnormal returns (alpha). For this porpoise we studied a sample of 1421 Fund of Hedg Funds between January of 2005 and December of 2011. The results of multi-factor model regressions, derived from Jensen's model (1968), suggest that only 3.03% of lhe funds in lhe sample can add value. The three main potential sources of alpha generalion in Funds of Hedge Funds come from lhe strategic allocation of lhe portfolios, lhe anticipation of market movements (market timing) and lhe capacity of FoHF managers to select lhe best assei managers in lhe industry to com pose its portfolio (fund selection). To evaluate lhe Brazilian FoHF manager's ability to anticipate market movements we included quadratic terms in lhe multi-factor models, as proposed by Treynor and Mazuy (1966). The results showed lha! managers, on average, could not add value by market timing. To evaluate lhe strategic allocation ability and lhe fund's selection abilities, we created a new variable with lhe information about lhe asseis in lhe porlfolio of each fund in lhe sample in every different month. The tests indicated that FoHF managers, on average, could no! add value by selecting lhe best managers, but lhe strategic allocation ability showed a positive contribution to FoHF's return. We also studied lhe alpha generation capacity before costs. lt raised lhe percentage of funds with positive alpha to 6.39% of lhe funds in lhe sample, but it was no! able to change lhe signal of lhe average alpha, lha! remained nega tive.
Com o aumento do número de gestores especializados em um número cada vez maior de possibilidades de investimentos na indústria de fundos brasileira, os fundos Multigestor se tornaram uma alternativa para os investidores que procuram diversificar seus investimentos e delegam às instituições financeiras o trabalho de alocar os recursos dentro das diferentes estratégias e fundos existentes no mercado. O intuito deste estudo é avaliar a capacidade de gerar retornos anormais (alfa) dos fundos de fundos da indústria brasileira, classificados como Fundos Multimercados Multigestor. Para isso foi estudada uma amostra com 1.421 fundos Multigestor com tributação de Longo Prazo no período de janeiro de 2005 a dezembro de 2011. A análise dos resultados encontrados através de regressões de modelos de vários fatores, derivados do modelo de Jensen (1968), sugere que apenas 3,03% dos fundos estudados conseguem adicionar valor a seus cotistas. Foram estudadas ainda as três principais fontes potenciais de geração de alfa dos fundos de fundos, a escolha das estratégias que compõe a carteira do fundo (alocação estratégica), a antecipação de movimentos de mercado (market timing) e a capacidade selecionar os melhores fundos dentro de cada estratégia (seleção de fundos). A partir da inclusão de termos quadráticos, conforme proposto pelos modelos de Treynor e Mazuy (1966) pode-se verificar que os fundos Multigestor, em média, não conseguem adicionar valor tentando antecipar movimentos de mercado (market timing). Através da construção de uma variável explicativa com a composição estratégica de cada fundo da amostra em cada período de tempo, pode-se verificar que os gestores de fundos de fundos, em média, também fracassam ao tentar selecionar os melhores fundos/gestores da indústria. Já a escolha das estratégias que compõe a carteira do fundo (alocação estratégica) mostrou contribuir positivamente para o retorno dos fundos. Ainda foi avaliada a capacidade de gerar alfa antes dos custos, o que elevou o percentual de fundos com alfa positivo para 6,39% dos fundos estudados, mas foi incapaz de alterar o sinal do alfa médio, que permaneceu negativo.
Xu, Wei. "The effects of competitive environments on corporate selective hedging behaviour." Thesis, 2019. http://hdl.handle.net/2440/120433.
Full textThesis (Ph.D.) -- University of Adelaide, Business School, 2019
Li, Cho-Hsing, and 李卓行. "Portfolio Selection with Futures Hedging." Thesis, 2002. http://ndltd.ncl.edu.tw/handle/42939309972611686475.
Full text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.
Hsiao, Tse-an, and 蕭澤安. "Selectively Hedging in Foreign Exchange Market." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/12358181979621636256.
Full text逢甲大學
國際貿易所
96
After Bretton Woods Agreement collapsed, individual investors or portfolio managers have long exposed to the foreign exchange rate risks. Comparing to individual investors, the managers in global or multinational corporations (MNCs), exporters and importers are easier to expose themselves to foreign exchange risk. Without doubt, the value of firms will be deeply affected by exchange rate fluctuations which play key factors in international financial market, international trade and foreign direct investment (FDI). Thus, how to use suitable international parity conditions to establish a theoretical value of foreign exchange rate, and based on the theoretical value tailoring and carrying out the foreign exchange hedging strategies to pursuit a higher value of the company are critical issues for the financial success of MNCs’ foreign operation. The purpose of this study is to compare the effects of different hedging strategies which have been discussed in the literature using updated data for the period May, 1990 to August, 2007, and adopting both return per unit of risk measures and stochastic dominance rules. The performance is evaluated for seven foreign exchange rates by using ten strategies. No matter in 1-month, 3-month or 6-month horizons, we find a strategy which hedges when forward rate is at a premium generally outperforms the other strategies for the research period. Similar findings are also emerging when we employ the stochastic dominance rules. Moreover, the always hedge would be inferior to the never hedge essentially.
Tsai, Pei-Ling, and 蔡佩玲. "Hedging Strategy Selection of Soybean Importers and Processors─An Application of GARCH Model." Thesis, 2001. http://ndltd.ncl.edu.tw/handle/80401097451999980344.
Full text國立屏東科技大學
農企業管理系
89
Soybean importers and processors in Taiwan always face soybean price risk and exchange risk. In recent years, there are only few research on agricultural futures hedging, not to say on soybean futures hedging. Almost all the literature on agricultural futures hedging assume that the variances of return time-series are constant. In addition, the exchange risk is always neglected. The paper utilizes the GARCH model to conduct an empirical examination, including the hedge ratios and the hedging performances under the flowing four different scenarios: (1) Price risk only is considered and hedged by using soybean futures. (2) Both price risk and exchange risk are considered, and hedged by using soybean futures only. (3) Using soybean futures to hedge price risk and using US/NT currency forward contract to hedge exchange risk. And (4) using soybean futures to hedge price risk and using cross-currency hedging to hedge exchange risk. The empirical results show that for the first scenario, namely only when price risk is considered, the hedging performance, which is measured as the percentage decrease of coefficient of variation, is above 96%; while for the second scenario, the hedging performance decreases to 89.39%. That is to say, exchange risk may not be neglected if the goal for the soybean importers or processors is to stabilize the material cost, which is in term of NT dollar. As to the third and fourth scenarios, the hedging performances become around 99%. The results indicate that the soybean importers or processors may consider using US/NT currency forward contract or using cross-currency hedging to hedge exchange risk, in addition to using soybean futures to hedge the price risks.
Liu, Tai-Shan, and 劉泰山. "The Application of KD and MACD Technical Indexes in the Selection of Hedging Timing: Evidence from the Hedging of Taiwan Stock Index Futures." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/73371919319757265322.
Full text逢甲大學
財務金融學所
97
In the previous empirical literature on hedging, most of them focused on the estimation of hedge ratios, models for the optimal hedge ratios, and the comparison of hedging performance. However, a successful hedge must include at least three important parts: hedging timing, hedging instruments, and the optimal hedge ratio. In particular the choice of the hedging timing is rarely discussed in the literature. In this study, an improved contingent hedging model that contains the three parts will provide a complete hedge reference for investors. The purposes of this study are to discuss the application of the combination of KD & MACD technical indexes in hedge timing and to provide an empirical test. We use weekly and monthly price data for the calculation of the values of KD & MACD to improve the shortcoming of frequent transaction, resulting from high turnover by using daily data, which is not suitable for institutional investors. In this study, the Taiwan Security Exchange Weighted Stock Index (TAIEX) in the period 1982/12/30 to 2008/12/31 is used as the spot asset to be hedged, and the near months, next months, and far months of TAIEX futures which is traded in the Taiwan Futures Exchange in the period 1998/8/1 to 2008/12/31 are used as the hedging instruments. The empirical results show that the KD & MACD combination using weekly and monthly data outperforms the buy-and-hold strategy for both considering and without considering the transaction costs. Then the KD & MACD combination is applied to the hedging timing of the contingent hedging model, and two hedging strategies are used to deal with the profits (losses) of futures hedging: Strategy I is that hedge profits (or losses) of futures are used for lending (borrowing) in (from) banks and strategy II is that hedge profits (or losses) of futures are used for buying (or selling) shares of the stock portfolio during the hedging period. Whether the transaction costs are considered or not, the results of improved contingent hedging model for both strategies I and II produce larger returns than the returns on the buy-and-hold strategy. Especially, KD & MACD combination using weekly data outperforms that by using monthly data. The best hedging strategies combination is that (1) the KD & MACD combination is calculated by using six-week weekly data (6KM); (2) the profits (losses) are used to buy (sell) shares; and (3) the far month futures contracts of TAIEX index futures are used as the hedging instruments. The improved contingent hedging model proposed in this study has the merit of easy implementation and provides a feasible and valuable method for the hedging practice.
Zhou, Ying. "Downside Risk Constraints and Currency Hedging in International Portfolios: the Asian and Late-2000 Crisis." Thesis, 2010. http://hdl.handle.net/1969.1/ETD-TAMU-2010-12-8974.
Full textBooks on the topic "Selective hedging"
Eun, Cheol A. International equity investment with selective hedging strategies. Bloomington, Indiana: Indiana University, Graduate School of Business, 1994.
Find full textByrne, John E. Selective hedging of foreign currency exposure: A statistical approach. Dublin: University College Dublin, 1994.
Find full textChorafas, Dimitris N. The money magnet: Regulating international finance, analyzing money flows and selecting a strategy for personal hedging. London: Euromoney, 1996.
Find full textVaga, Tonis. Profiting from chaos: Using chaos theory for market timing, stock selection, and option valuation. New York: McGraw-Hill, 1994.
Find full textBook chapters on the topic "Selective hedging"
Andornino, Giovanni B. "Continuity and Change in Italy-China Relations: From Economic Pragmatism to Selective Followership and Back." In China-US Competition, 133–57. Cham: Springer International Publishing, 2023. http://dx.doi.org/10.1007/978-3-031-15389-1_6.
Full textRöthig, Andreas. "Arbitrage Pressure, Positive Feedback Speculation, Selective Hedging, and Economic Stability: An Empirical Analysis and Catastrophe Modelling." In Lecture Notes in Economics and Mathematical Systems, 87–119. Berlin, Heidelberg: Springer Berlin Heidelberg, 2009. http://dx.doi.org/10.1007/978-3-642-01565-6_5.
Full textDi Graziano, Giuseppe, and Stefano Galluccio. "On Model Selection and its Impact on the Hedging of Financial Derivatives." In Advances in Risk Management, 353–64. London: Palgrave Macmillan UK, 2007. http://dx.doi.org/10.1057/9780230625846_18.
Full textLie, Erik. "Risk Management Theory." In Applied Corporate Risk and Liquidity Management, 47—C4.F16. Oxford University PressNew York, 2023. http://dx.doi.org/10.1093/oso/9780197664995.003.0004.
Full textCrawford, Timothy W. "The Entente Fails to Keep Turkey Neutral, 1914." In The Power to Divide, 57–71. Cornell University Press, 2021. http://dx.doi.org/10.7591/cornell/9781501754715.003.0005.
Full textDenison, R. Ford. "Diversity, Bet-hedging, and Selection among Ideas." In Darwinian Agriculture. Princeton University Press, 2012. http://dx.doi.org/10.23943/princeton/9780691139500.003.0012.
Full text"12. Diversity, Bet-hedging, and Selection among Ideas." In Darwinian Agriculture, 190–216. Princeton: Princeton University Press, 2012. http://dx.doi.org/10.1515/9781400842810.190.
Full textHutchings, Jeffrey A. "Life-History Evolution in a Changing Environment." In A Primer of Life Histories, 99–114. Oxford University Press, 2021. http://dx.doi.org/10.1093/oso/9780198839873.003.0006.
Full textDenison, R. Ford. "Darwinian Agriculture’s Three Core Principles." In Darwinian Agriculture. Princeton University Press, 2012. http://dx.doi.org/10.23943/princeton/9780691139500.003.0004.
Full textConference papers on the topic "Selective hedging"
Florianová, Hana. "THE PORTFOLIO SELECTION FOR A HEDGING STRATEGY." In 7th Economics & Finance Conference, Tel Aviv. International Institute of Social and Economic Sciences, 2017. http://dx.doi.org/10.20472/efc.2017.007.001.
Full textLiu, Yanwu, and Zhongzhen Zhang. "Mean-Absolute Deviation Optimization Model for Hedging Portfolio Selection Problems." In 2009 ETP International Conference on Future Computer and Communication (FCC). IEEE, 2009. http://dx.doi.org/10.1109/fcc.2009.51.
Full textHuang, Xin, and Duan Li. "A Two-level Reinforcement Learning Algorithm for Ambiguous Mean-variance Portfolio Selection Problem." In Twenty-Ninth International Joint Conference on Artificial Intelligence and Seventeenth Pacific Rim International Conference on Artificial Intelligence {IJCAI-PRICAI-20}. California: International Joint Conferences on Artificial Intelligence Organization, 2020. http://dx.doi.org/10.24963/ijcai.2020/624.
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