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Thèses sur le sujet « Optimal Hedging »

Auteur : Grafiati
Publié le 9 mars 2023
Mis à jour le 10 mars 2023

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1

Chen, Fei. "Essays on Optimal Hedging in Financial Markets." Thesis, University of Reading, 2010. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.533745.

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2

Xu, Weijun Banking &amp Finance Australian School of Business UNSW. "Optimal hedging strategy in stock index future markets." Awarded by:University of New South Wales. Banking & Finance, 2009. http://handle.unsw.edu.au/1959.4/43728.

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In this thesis we search for optimal hedging strategy in stock index futures markets by providing a comprehensive comparison of variety types of models in the related literature. We concentrate on the strategy that minimizes portfolio risk, i.e., minimum variance hedge ratio (MVHR) estimated from a range of time series models with different assumptions of market volatility. There are linear regression models assuming time-invariant volatility; GARCH-type models capturing time-varying volatility, Markov regime switching (MRS) regression models assuming state-varying volatility, and MRS-GARCH mo
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3

Oosterhof, Casper Martijn. "Essays on corporate risk management and optimal hedging." [S.l. : [Groningen : s.n.] ; University Library Groningen] [Host], 2006. http://irs.ub.rug.nl/ppn/298196808.

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4

Li, Yanmin. "Optimal hedging under transaction costs and implied trees." Thesis, University of Warwick, 2003. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.418116.

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5

Kamgaing, Moyo Clinsort. "Optimal hedging under price, quantity and exchange rate uncertainty." Thesis, Massachusetts Institute of Technology, 1986. http://hdl.handle.net/1721.1/37696.

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Thesis (M.S.)--Massachusetts Institute of Technology, Sloan School of Management, 1986.<br>MICROFICHE COPY AVAILABLE IN ARCHIVES AND DEWEY<br>Bibliography: leaf 46.<br>by Moyo Clinsort Kamgaing.<br>M.S.
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6

Ndounkeu, Ludovic Tangpi. "Optimal cross hedging of Insurance derivatives using quadratic BSDEs." Thesis, Stellenbosch : Stellenbosch University, 2011. http://hdl.handle.net/10019.1/17950.

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Thesis (MSc)--Stellenbosch University, 2011.<br>ENGLISH ABSTRACT: We consider the utility portfolio optimization problem of an investor whose activities are influenced by an exogenous financial risk (like bad weather or energy shortage) in an incomplete financial market. We work with a fairly general non-Markovian model, allowing stochastic correlations between the underlying assets. This important problem in finance and insurance is tackled by means of backward stochastic differential equations (BSDEs), which have been shown to be powerful tools in stochastic control. To lay stress on t
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7

Lindholm, Love. "Calibration and Hedging in Finance." Licentiate thesis, KTH, Numerisk analys, NA, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-156077.

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This thesis treats aspects of two fundamental problems in applied financial mathematics: calibration of a given stochastic process to observed marketprices on financial instruments (which is the topic of the first paper) and strategies for hedging options in financial markets that are possibly incomplete (which is the topic of the second paper). Calibration in finance means choosing the parameters in a stochastic process so as to make the prices on financial instruments generated by the process replicate observed market prices. We deal with the so called local volatility model which is one of
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8

Savina, Oksana Yurievna. "On optimal hedging and redistribution of catastrophe risk in insurance." Thesis, London School of Economics and Political Science (University of London), 2008. http://etheses.lse.ac.uk/2041/.

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The purpose of the thesis is to analyse the management of various forms of risk that affect entire insurance portfolios and thus cannot be eliminated by increasing the number of policies, like catastrophes, financial market events and fluctuating insurance risk conditions. Three distinct frameworks are employed. First, we study the optimal design of a catastrophe-related index that an insurance company may use to hedge against catastrophe losses in the incomplete market. The optimality is understood in terms of minimising the remaining risk as proposed by Follmer and Schweizer. We compare seve
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9

Sayle, James Hughes. "Optimal hedging strategies for early-planted soybeans in the South." Master's thesis, Mississippi State : Mississippi State University, 2007. http://library.msstate.edu/etd/show.asp?etd=etd-06192007-141148.

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10

Kollar, Jozef. "Optimal Martingale measures and hedging in models driven by Levy processes." Thesis, Heriot-Watt University, 2011. http://hdl.handle.net/10399/2508.

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Our research falls into a broad area of pricing and hedging of contingent claims in incomplete markets. In the rst part we introduce the L evy processes as a suitable class of processes for nancial modelling purposes. This in turn causes the market to become incomplete in general and therefore the martingale measure for the pricing/hedging purposes has to be chosen by introducing some subjective criteria. We study several such criteria in the second section for a general stochastic volatility model driven by L evy process, leading to minimal martingale measure, variance-optimal, or the more ge
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11

Gupta, Alok. "A Bayesian approach to financial model calibration, uncertainty measures and optimal hedging." Thesis, University of Oxford, 2010. http://ora.ox.ac.uk/objects/uuid:6158b433-20b6-4f8b-9199-895ced574330.

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In this thesis we address problems associated with financial modelling from a Bayesian point of view. Specifically, we look at the problem of calibrating financial models, measuring the model uncertainty of a claim and choosing an optimal hedging strategy. Throughout the study, the local volatility model is used as a working example to clarify the proposed methods. This thesis assumes a prior probability density for the unknown parameter in a model we try to calibrate. The prior probability density regularises the ill-posedness of the calibration problem. Further observations of market prices
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12

Turner, Peter Alistair. "Determining the Optimal Commodity and Hedge Ratio for Cross-Hedging Jet Fuel." Thesis, North Dakota State University, 2014. https://hdl.handle.net/10365/27250.

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Airlines are exposed to risks in swings in the price of jet fuel. While there are many different options that they can use to hedge this risk, airlines often underutilize them. This study establishes the minimum variance hedge ratio for an airline wishing to hedge with futures, while also establishing the best cross-hedging asset. Airlines hedging with futures would create the most effective hedge by using 3-month maturity contracts of heating oil. 3- Month maturity contracts are slightly more effective as hedging tools than the next month, but beyond the 3-Month veil, increased maturity makes
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13

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.

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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.
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14

Ng, Desmond Siew Wai. "Nonlinear Pricing in Discrete-time under Default and Optimal Collateral." Thesis, The University of Sydney, 2018. http://hdl.handle.net/2123/19637.

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This thesis addresses a re-examination of the classical no-arbitrage pricing theory of mathematical finance through Backward Stochastic Difference Equations (BSdEs), their extensions and connections to Nonlinear Evaluations and Generalized Game Contingent Claims (GGCCs). A theory is developed in discrete-time encompassing the nonlinear features introduced into the pricing and hedging problems stemming from three salient features prevalent in modern day derivatives markets; nonlinear differential funding, default and collateralization. Their implications upon the arbitrage-free nature of market
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15

Goutte, Stéphane. "Variance optimal hedging in incomplete market for processes with independant increments and applications to electricity market." Paris 13, 2010. http://www.theses.fr/2010PA132041.

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La thèse porte sur une décomposition explicite de Föllmer-Schweizer et d'une classe importante d'actifs conditionnels lorsque le cours du sous-jacent est un processus à accroissements indépendants ou une exponentielle de tels processus. Ceci permet de mettre en oeuvre un algorithme efficace pour établir des stratégies optimales dans le cadre de la couverture quadratique. Ces résultats ont été implémentés dans le cadre du marché de l'électricité<br>The thesis focuses on an explicit decomposition Föllmer-Schweizer and an important class of contingent assets when the price of the underlying is a
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16

Bénézet, Cyril. "Study of numerical methods for partial hedging and switching problems with costs uncertainty." Thesis, Université de Paris (2019-....), 2019. http://www.theses.fr/2019UNIP7079.

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Nous apportons dans cette thèse quelques contributions à l’étude théorique et numérique de certains problèmes de contrôle stochastique, ainsi que leurs applications aux mathématiques financières et à la gestion des risques financiers. Ces applications portent sur des problématiques de valorisation et de couverture faibles de produits financiers, ainsi que sur des problématiques réglementaires. Nous proposons des méthodes numériques afin de calculer efficacement ces quantités pour lesquelles il n’existe pas de formule explicite. Enfin, nous étudions les équations différentielles stochastiques r
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17

Wanntorp, Henrik. "Optimal Stopping and Model Robustness in Mathematical Finance." Doctoral thesis, Uppsala : Department of Mathematics, Uppsala University, 2008. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-9516.

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18

Chevallier, Julien. "The European carbon market (2005-2007): banking, pricing and risk hedging strategies." Diss., University of Paris 10, 2008. http://hdl.handle.net/10919/71614.

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This thesis investigates the market rules of the European carbon market (EU ETS) during 2005-2007. We provide theoretical and empirical analyses of banking and borrowing provisions, price drivers and risk hedging strategies attached to tradable quotas, which were introduced to cover the CO2 emissions of around 10,600 installations in Europe.In Chapter 1, we outline the economic and environmental effects of banking and borrowing on tradable permits markets. More specifically, we examine the banking and borrowing provisions adopted in the EU ETS, and the effects of banning banking between Phases
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19

Haglund, Fredrik, and Svensson Johan. "The volatility race in Commodities : The optimal hedge ratio in Copper, Gold, Oil and Cotton." Thesis, Jönköping University, JIBS, Business Administration, 2005. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-88.

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<p>Introduction: Companies that are dependent on different commodities as input or output are exposed to price risk in these commodities. The price changes can be expressed as volatility and higher volatility results in higher risk. Hedging the commodity contracts with futures can offset this risk. One of the most important questions in this field is to what extent the risk exposure should be hedged with futures contract, i.e. the optimal hedge ratio.</p><p>Purpose: The study aims to conduct an analysis of the variance in different commodities contracts and provide evidence of the optimal hedg
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20

Martines-Filho, Joao G. "Pre-harvest marketing strategies for corn and soybeans: a comparison of optimal hedging models and market advisory service recommendations." The Ohio State University, 1996. http://rave.ohiolink.edu/etdc/view?acc_num=osu1248380053.

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21

Martines, Filho João Gomes. "Pre-harvest marketing strategies for corn and soybeans : a comparison of optimal hedging models and market advisory service recommendations /." The Ohio State University, 1996. http://rave.ohiolink.edu/etdc/view?acc_num=osu1487936356160445.

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22

Leite, Gustavo Ribas de Almeida. "Hedge de crédito através de equity: uma análise empírica com uso de ativos corporativos brasileiros." reponame:Repositório Institucional do FGV, 2011. http://hdl.handle.net/10438/9777.

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Submitted by Marcia Bacha (marcia.bacha@fgv.br) on 2012-05-10T13:35:50Z No. of bitstreams: 1 343o FGV - Gustavo Ribas).pdf: 1032541 bytes, checksum: d5326372e73d2653dad404e2e9fc68a0 (MD5)<br>Approved for entry into archive by Marcia Bacha (marcia.bacha@fgv.br) on 2012-05-10T13:36:31Z (GMT) No. of bitstreams: 1 343o FGV - Gustavo Ribas).pdf: 1032541 bytes, checksum: d5326372e73d2653dad404e2e9fc68a0 (MD5)<br>Made available in DSpace on 2012-05-10T13:36:38Z (GMT). No. of bitstreams: 1 343o FGV - Gustavo Ribas).pdf: 1032541 bytes, checksum: d5326372e73d2653dad404e2e9fc68a0 (MD5) Previous is
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23

Browning, Alexander P. "Model complexity in biology and bioengineering." Thesis, Queensland University of Technology, 2022. https://eprints.qut.edu.au/227787/1/Alexander_Browning_Thesis.pdf.

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In biology and bioengineering, mathematical and statistical analysis provides an understanding of biological systems that enables their control and manipulation. Tailoring mathematical and experimental complexity to the biological question of interest is crucial to avoid issues relating to parameter identifiability. We develop models and tools to bring new data-based insights to a range of contemporary problems in biology and bioengineering. These include data-focused stochastic models that describe complex cell interactions and decision making, incorporating biological systems into new engine
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24

DOLDI, ALESSANDRO. "EQUILIBRIUM, SYSTEMIC RISK MEASURES AND OPTIMAL TRANSPORT: A CONVEX DUALITY APPROACH." Doctoral thesis, Università degli Studi di Milano, 2021. http://hdl.handle.net/2434/812668.

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This Thesis focuses on two main topics. Firstly, we introduce and analyze the novel concept of Systemic Optimal Risk Transfer Equilibrium (SORTE), and we progressively generalize it (i) to a multivariate setup and (ii) to a dynamic (conditional) setting. Additionally we investigate its relation to a recently introduced concept of Systemic Risk Measures (SRM). We present Conditional Systemic Risk Measures and study their properties, dual representation and possible interpretations of the associated allocations as equilibria in the sense of SORTE. On a parallel line of work, we develop a duality
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25

Júnior, José César Cruz. "Modelo de razão de hedge ótima e percepção subjetiva de risco nos mercados futuros." Universidade de São Paulo, 2009. http://www.teses.usp.br/teses/disponiveis/11/11132/tde-05082009-075152/.

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O objetivo deste trabalho foi investigar motivos pelos quais os produtores brasileiros de boi gordo e milho fazem relativamente pouco uso dos mercados futuros como ferramenta de gerenciamento de risco de preços. Duas abordagens diferentes foram apresentadas na pesquisa. Para o mercado de boi gordo, onde a presença de hedgers parece ser maior, um modelo de razão de hedge ótima alternativo ao tradicional modelo de mínima variância foi utilizado. O modelo alternativo faz uso de uma função de utilidade com aversão relativa ao risco constante para modelar as preferências dos indivíduos. Esta aborda
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26

Laachir, Ismail. "Quantification of the model risk in finance and related problems." Thesis, Lorient, 2015. http://www.theses.fr/2015LORIS375/document.

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L’objectif central de la thèse est d’étudier diverses mesures du risque de modèle, exprimées en terme monétaire, qui puissent être appliquées de façon cohérente à une collection hétérogène de produits financiers. Les deux premiers chapitres traitent cette problématique, premièrement d’un point de vue théorique, ensuite en menant un étude empirique centrée sur le marché du gaz naturel. Le troisième chapitre se concentre sur une étude théorique du risque dit de base (en anglais basis risk). Dans le premier chapitre, nous nous sommes intéressés à l’évaluation de produits financiers complexes, qui
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27

CHAU, NGOC HUY. "A Study Of Arbitrage Opportunities In Financial Markets Without Martingale Measures." Doctoral thesis, Università degli studi di Padova, 2016. http://hdl.handle.net/11577/3424250.

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This Ph.D. thesis consists of four dependent chapters and is devoted to a systematic study of arbitrage opportunities, with particular attention to general and incomplete market models with cadlag semimartingales. In Chapter 1, we state our motivation, and then briefly review the theory of no arbitrage, and the previous studies of arbitrage opportunities in the literature. We introduce a general framework, which will be used throughout this dissertation. We discuss no-arbitrage conditions, utility optimization problems and recall results from the literature. Finally, we state three resear
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28

Engström, Daniel, and Niklas Gustafsson. "Swedish Equity Sectors Risk Management with Commodities : Revisiting dynamic conditional correlations and hedge ratios." Thesis, Linköpings universitet, Nationalekonomi, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-139040.

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The purpose of this study is to investigate changes in dynamic conditional correlations between Swedish equity sector indices and commodities using oil, gold, copper and a general commodity index. Additionally the purpose is to evaluate which of the two methods, DCC- GARCH or GO-GARCH that is more efficient in estimating correlation for hedge ratio calculation. Daily data on the FTSE30 index of Sweden and its sector indices have been studied between the years 1994 and 2017. A DCC-GARCH (1,1) and GO-GARCH (1,1) model with one autoregressive term AR(1) using multivariate Student t- and Multivari
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29

GONZATO, LUCA. "Application of Sequential Monte Carlo Methods to Dynamic Asset Pricing Models." Doctoral thesis, Università degli Studi di Milano-Bicocca, 2020. http://hdl.handle.net/10281/295144.

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In questa tesi si considera l’applicazione di metodi Monte Carlo sequenziali per modelli di asset pricing di tipo dinamico. Il primo capitolo della tesi presenta una panoramica generale sui metodi Monte Carlo sequenziali. Nello specifico, partendo da metodi Monte Carlo standard si giunge fino allo stato dell’arte per quanto riguarda i metodi Monte Carlo sequenziali. Il secondo capitolo costituisce una review della letteratura sui metodi di simulazione esatta per processi di Hawkes. Dall’analisi svolta si evince che lo schema proposto da Dassios e Zaho (2013) performa meglio degli altri algorit
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30

Tran, Quoc-Tran. "Some contributions to financial market modelling with transaction costs." Thesis, Paris 9, 2014. http://www.theses.fr/2014PA090036/document.

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Cette thèse traite plusieurs problèmes qui se posent pour les marchés financiers avec coûts de transaction et se compose de quatre parties.On commence, dans la première partie, par une étude du problème de couverture approximative d’une option Européenne pour des marchés de volatilité locale avec coûts de transaction proportionnelles.Dans la seconde partie, on considère le problème de l’optimisation de consommation dans le modèle de Kabanov, lorsque les prix sont conduits par un processus de Lévy.Dans la troisième partie, on propose un modèle général incluant le cas de coûts fixes et coûts pro
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31

Bego, Marcelo da Silva. "Three essays on agricultural markets." reponame:Repositório Institucional do FGV, 2017. http://hdl.handle.net/10438/18066.

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Pískatá, Petra. "Vliv nejistoty modelů projektů na investiční rozhodování." Doctoral thesis, Vysoké učení technické v Brně. Fakulta stavební, 2020. http://www.nusl.cz/ntk/nusl-433595.

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This doctoral thesis widely analyses the process of investment decision-making. In its individual parts, it researches models used for planning, analysing and evaluation of investments projects, but also models used for final decision about realization of the investment. Investing activity is present in world economic cycle in all it’s phases. Capital sources used for financing if the investment projects are scarce and must be handled with care. For this reason, there are many supportive methodologies and models employed in managing of the investments as well as instruments developed to miti-g
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33

Boukrami, Othmane. "Les effets de la diversification sur le risque de change non couvert par les marchés financiers : estimation de la rentabilité du portefeuille dans un système d'informatio optimal." Thesis, Lyon 3, 2011. http://www.theses.fr/2011LYO30024.

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Dans les conditions actuelles du marché, les entreprises dans les pays émergeants ont le choix entre une dette à court terme en monnaie locale et un financement à long terme en devise forte provenant de sources internationales pour financer leurs investissements à long terme. Ceci crée un gap de taux ou de change. Cette thèse se situe dans la continuité des travaux de recherche qui ont déjà étudié la question de la diversification des risques de change dans les marchés financiers matures. A la différence des approches existantes, cette recherche se concentre sur les monnaies des pays émergeant
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34

Santos, Filipe Caldeira. "Measuring hedging performance of futures for non main european indices." Master's thesis, Instituto Superior de Economia e Gestão, 2019. http://hdl.handle.net/10400.5/17665.

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Mestrado em Finanças<br>A atividade de cobertura de risco na ausência de liquidez nos mercados de contratos de futuros e de opções financeiras implica ou a utilização de instrumentos "Over-the-Counter" assumindo-se o risco de contra-parte associado, ou em alternativa a aplicação de técnicas de cobertura de risco indiretas, "cross-hedging", implicando nesta caso risco de correlação. Esta temática é de extrema importância para os "index-trackers" que necessitam de cobrir o risco das suas exposições na situação em que não existem contratos de futuros relevantes (como é o caso dos corresponden
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Römmich, Michael [Verfasser], and Rainer [Akademischer Betreuer] Elschen. "Optimale Produktions- und Hedging-Entscheidungen auf dem Großhandelsmarkt für Strom / Michael Römmich ; Betreuer: Rainer Elschen." Duisburg, 2018. http://d-nb.info/115438585X/34.

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36

Hamdi, Haykel. "Théorie des options et fonctions d'utilité : stratégies de couverture en présence des fluctuations non gaussiennes." Thesis, Paris 2, 2011. http://www.theses.fr/2011PA020006/document.

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L'approche traditionnelle des produits dérivés consiste, sous certaines hypothèses bien définies, à construire des stratégies de couverture à risque strictement nul. Cependant,dans le cas général ces stratégies de couverture "parfaites" n'existent pas,et la théorie doit plutôt s'appuyer sur une idée de minimisation du risque. Dans ce cas, la couverture optimale dépend de la quantité du risque à minimiser. Dans lecadre des options, on considère dans ce travail une nouvelle mesure du risque vial'approche de l'utilité espérée qui tient compte, à la fois, du moment d'ordre quatre,qui est plus sens
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37

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.

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38

Bilarev, Todor. "Feedback Effects in Stochastic Control Problems with Liquidity Frictions." Doctoral thesis, Humboldt-Universität zu Berlin, 2018. http://dx.doi.org/10.18452/19592.

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In dieser Arbeit untersuchen wir mathematische Modelle für Finanzmärkte mit einem großen Händler, dessen Handelsaktivitäten transienten Einfluss auf die Preise der Anlagen haben. Zuerst beschäftigen wir uns mit der Frage, wie die Handelserlöse des großen Händlers definiert werden sollen. Wir identifizieren die Erlöse zunächst für absolutstetige Strategien als nichtlineares Integral, in welchem sowohl der Integrand als der Integrator von der Strategie abhängen. Unserere Hauptbeiträge sind hier die Identifizierung der Skorokhod M1 Topologie als geeigneter Topologue auf dem Raum aller Strate
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Mrázková, Eva. "Approximations in Stochastic Optimization and Their Applications." Doctoral thesis, Vysoké učení technické v Brně. Fakulta strojního inženýrství, 2010. http://www.nusl.cz/ntk/nusl-233932.

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Mnoho inženýrských úloh vede na optimalizační modely s~omezeními ve tvaru obyčejných (ODR) nebo parciálních (PDR) diferenciálních rovnic, přičemž jsou v praxi často některé parametry neurčité. V práci jsou uvažovány tři inženýrské problémy týkající se optimalizace vibrací a optimálního návrhu rozměrů nosníku. Neurčitost je v nich zahrnuta ve formě náhodného zatížení nebo náhodného Youngova modulu. Je zde ukázáno, že dvoustupňové stochastické programování nabízí slibný přístup k řešení úloh daného typu. Odpovídající matematické modely, zahrnující ODR nebo PDR omezení, neurčité parametry a více
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Chou, Ting-Hsuan, and 周庭萱. "Optimal Variance Hedging in Discrete Time." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/3q52pw.

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Lin, Chih-Yuan, and 林治源. "Optimal Hedging Strategies under Transactions Costs." Thesis, 1999. http://ndltd.ncl.edu.tw/handle/41586736113345023321.

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碩士<br>淡江大學<br>財務金融學系<br>87<br>We only consider costs proportional to the value of the transaction, in which case we find that the optimal hedging strategy is not to rehedge until the stock position moves out of line by a certain amount. Then, the position is rehedge as little as possible to keep the delta at the edge of this hedging bandwith. So the hedging bandwith and the optimal hedging points coincide. We compared the four strategies of ( 1 ) rehedging at fixed intervals, ( 2 ) rehedging at fixed movements in the delta, ( 3 ) rehedging at fixed intervals + hedging bandwith, ( 4
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Hsiao, Wen Chi, and 蕭文麒. "The Optimal Hedging Strategies Of International Investments." Thesis, 1992. http://ndltd.ncl.edu.tw/handle/40987543725288619204.

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Chang, Wen-Han, and 張文翰. "Optimal Risk Measures and Their Hedging Effectiveness." Thesis, 2003. http://ndltd.ncl.edu.tw/handle/63946548756641100785.

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碩士<br>淡江大學<br>財務金融學系<br>91<br>There are many downside risk measures proposed in the literatures, such as variance, lower partial moment（LPM）, Value-at-risk（VaR） and expected shortfall（ES）. Each of these risk measures has its own appealing as well as disadvantages. The difference of hedging strategies using these risk measures is an empirical issue. The purpose of this study is therefore to evaluate the hedging effectiveness among these risk measures. Historical method and Monte Carlo simulation are applied to estimate the parameters needed for each risk measures. S&P 500 stock index
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Suh-Jen, Chen, and 陳素珍. "OPTIMAL HEDGE RATIO OF HEDGING DOWNSIDE RISK." Thesis, 1999. http://ndltd.ncl.edu.tw/handle/82413856635719149509.

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碩士<br>國立臺灣大學<br>國際企業學研究所<br>87<br>One of the major functions of derivative instruments is risk reduction. A long-standing tradition in the finance literature treated the risk with a two-sided notion. Standard deviation or variance are employed to measure risk. However, in fact corporate managers are more concerned with downside risk, the variability in losses. An appropriate measure of the downside risk is lower partial moment (LPM). The thesis construct a bivariate APARCH-M model for the spot and futures returns and derives the time-varying LPM hedge ratio. The purpose of the thesis is to com
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Chen, Chen-Yen, and 陳甄燕. "Reexamine optimal hedging strategy based on ARJI model." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/74727152686113597234.

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碩士<br>淡江大學<br>財務金融學系碩士在職專班<br>100<br>This study is to conduct hedging the cash markets of the S&P 500 index futures, COMEX gold futures of U.S. Chicago Mercantile Exchange (CME) and NTMEX West Texas crude oil futures. The study period is taken from January 1, 2001 as of December 31, 2011. Measurement methods of different hedge performance, including variance and semi-variance, VaR, etc. will be applied to estimate OLS, CCC-GARCH, DCC-GARCH, and out-of-sample hedge performance of CCC-GARCH and DCC-GARCH and other hedge models adjusted by using ARJI. The results shown that the daily or weekly he
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CHUNG, WEI-SHIH, and 鍾緯世. "Optimal Hedging and Jump Process in Stock Markets." Thesis, 2019. http://ndltd.ncl.edu.tw/handle/6b52vf.

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博士<br>大葉大學<br>管理學院博士班<br>107<br>With the wide usage of high frequency financial data, constructing an observable proxy for latent volatility has become possible nowadays. Meanwhile, extreme asset price changes (so-called jumps) can have an impact on volatility. Using a risk–return equilibrium approach toward financial decision making, both hedging and the jump effect need to be considered when recommending wise stock investments. Therefore, this dissertation engages a comprehensive literature review of optimal hedging and jump process-related issues. Then, I develop a copula-based heterogeneou
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田玲菱. "A Study on ETF Portfolio and Optimal Hedging Strategy." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/99092756726424382938.

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Wang, Shaio-Tien, and 王曉恬. "Optimal Currency Hedging Overlay Strategies for Taiwan’s Pension Fund." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/05420857299778120015.

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碩士<br>國立臺灣大學<br>財務金融學研究所<br>95<br>In this paper, we are trying to determine the optimal currency hedging overlay strategies for Taiwanese pension funds. Markowitz Mean-Variance model and Williams Maximum Probability Approach are used to construct a spot position as the hedging subject. Then, we apply the conventional hedging effectiveness as well as Sharpe ratio to analyze the efficiency of single contract and multiple contracts overlay strategies. We discover that dynamic hedge under minimum-variance model is the most efficient based on risk reduction. Secondly, the hedging effectiveness of d
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Wu, Jian-Tai, and 吳建泰. "Drought index based optimal hedging rules for Shihmen reservoir." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/73979757351364387725.

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碩士<br>淡江大學<br>水資源及環境工程學系<br>92<br>Droughts are inevitable phenomena of the climate on earth. Initiation and termination of droughts are unpredictable, water supplies from reservoirs are unstable during droughts. It is often to accept a series of smaller shortages to mitigate the negative impacts caused by a sudden high percentage shortage. It is aimed to derive the optimal hedging rules for a water supply reservoir in this study. Water rationing mechanism depends on drought indicators. Two types of hedging are considered in this study. The first type of hedging uses drought indicators so
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Wang, Shaio-Tien. "Optimal Currency Hedging Overlay Strategies for Taiwan's Pension Fund." 2007. http://www.cetd.com.tw/ec/thesisdetail.aspx?etdun=U0001-2407200722160800.

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