Optimal Hedging in Futures Markets with Multiple Delivery Specifications PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Optimal Hedging in Futures Markets with Multiple Delivery Specifications PDF full book. Access full book title Optimal Hedging in Futures Markets with Multiple Delivery Specifications by Avraham Kamara. Download full books in PDF and EPUB format.
Author: Avraham Kamara
Publisher:
ISBN:
Category : Hedging (Finance)
Languages : en
Pages : 50
Get Book Here
Book Description
Author: Avraham Kamara
Publisher:
ISBN:
Category : Hedging (Finance)
Languages : en
Pages : 50
Get Book Here
Book Description
Author: Axel F. A. Adam-Müller
Publisher:
ISBN:
Category :
Languages : en
Pages : 19
Get Book Here
Book Description
Author: Su Dai
Publisher: GRIN Verlag
ISBN: 3656539219
Category : Business & Economics
Languages : en
Pages : 80
Get Book Here
Book Description
Master's Thesis from the year 2013 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 1,7, University of Mannheim, language: English, abstract: The commodity futures contract is an agreement to deliver a specific amount of commodity at a future time . There are usually choices of deliverable grades, delivery locations and delivery dates. Hedging belongs to one of the fundamental functions of futures market. Futures can be used to help producers and buyers protect themselves from price risk arising from many factors. For instance, in crude oil commodities, price risk occurs due to disrupted oil supply as a consequence of political issues, increasing of demand in emerging markets, turnaround in energy policy from the fossil fuel to the solar and efficient energy, etc. By hedging with futures, producers and users can set the prices they will receive or pay within a fixed range. A hedger takes a short position if he/she sells futures contracts while owning the underlying commodity to be delivered; a long position if he/she purchases futures contracts. The commonly known basis is defined as the difference between the futures and spot prices, which is mostly time-varying and mean-reverting. Due to such basis risk, a naïve hedging (equal and opposite) is unlikely to be effective. With the popularity of commodity futures, how to determine and implement the optimal hedging strategy has become an important issue in the field of risk management. Hedging strategies have been intensively studied since the 1960s. One of the most popular approaches to hedging is to quantify risk as variance, known as minimum-variance (MV) hedging. This hedging strategy is based on Markowitz portfolio theory, resting on the result that “a weighted portfolio of two assets will have a variance lower than the weighted average variance of the two individual assets, as long as the two assets are not perfectly and positively correlated.” MV strategy is quite well accepted, however, it ignores the expected return of the hedged portfolio and the risk preference of investors. Other hedging models with different objective functions have been studied intensively in hedging literature. Due to the conceptual simplicity, the value at risk (VaR) and conditional value at risk (C)VaR have been adopted as the hedging risk objective function. [...]
Author: Da-Hsiang Donald Lien
Publisher:
ISBN:
Category : Futures
Languages : en
Pages : 28
Get Book Here
Book Description
Author: Ronald W. Anderson
Publisher:
ISBN:
Category : Futures market
Languages : en
Pages : 36
Get Book Here
Book Description
Author: Anthony Neuberger
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
The paper analyzes the problem facing an agent who has a long term commodity supply commitment, and who wishes to hedge that commitment using short maturity commodity futures contracts. As time evolves, the agent has to roll the hedge as old futures contracts mature and new futures contracts are listed. This gives rise to hedge errors. The optimal hedging strategy is characterized in a world where contracts of several different maturities coexist. The strategy is independent both of the agent's risk aversion and, under certain conditions, of beliefs about expected returns from holding futures contracts. The methodology is compared with approaches based on dynamic models of the term structure. It is tested on data from the oil futures market.
Author: Andrew H. Chen
Publisher: Emerald Group Publishing
ISBN: 1848554478
Category : Business & Economics
Languages : en
Pages : 380
Get Book Here
Book Description
Contains topics that include the design of a country's financial safety nets, the effective policies of acquiring failed banks in reducing moral hazard problems, the voluntary disclosure of real options by corporate managers, and the interrelationship between the housing and general economic activities.
Author: Steven Bruce Perfect
Publisher:
ISBN:
Category : Hedging (Finance)
Languages : en
Pages : 534
Get Book Here
Book Description
Author: Rita Biswas
Publisher: Emerald Group Publishing
ISBN: 178973391X
Category : Business & Economics
Languages : en
Pages : 190
Get Book Here
Book Description
This volume, dedicated to John W. Kensinger, explores a variety of topics in financial economics, including firm growth, investment risks, and the profitability of the banking industry. With its global perspective, Essays in Financial Economics is a valuable addition to the bookshelf of any researcher in finance.
Author: Sundaram Janakiramanan
Publisher: Pearson Education India
ISBN: 9788131755143
Category :
Languages : en
Pages : 548
Get Book Here
Book Description
