Detail Two essays on futures hedging Bibliografi Author: Shaffer, David R. ; Lien, Donald (Advisor) Topik: BUSINESS ADMINISTRATION; BANKING Bahasa: (EN )    ISBN: 0-599-43212-8     Penerbit: UNIVERSITY OF KANSAS     Tahun Terbit: 1999     Jenis: Theses - Dissertation Fulltext: 9941670.pdf (0.0B; 2 download) Abstract This dissertation consists of two essays. The first essay, “Estimating the Minimum Extended Gini Hedge Ratio,” examines minimum-risk hedge ratios based on the extended Gini coefficient, a dispersion measure with strong theoretical merit for use in futures hedging. Unlike mean-variance theory, the mean and extended Gini coefficient framework yields conclusions consistent with expected utility maximization regardless of the return distribution or utility function of the hedger. However, Gini-based hedge ratios must be computed iteratively making them less convenient to use than those based on variance. Shalit (1995) proposes an explicit expression for computing minimum extended Gini hedge ratios, potentially alleviating the computation problem. However, Shalit's expression assumes a specific relationship between futures prices and spot/futures portfolio profits that lacks rigorous justification. This essay empirically assesses this relationship by comparing hedge ratios computed using Shalit's method with true minimum extended Gini hedge ratios. Results show that Shalit's hedge ratios perform poorly, both economically and statistically, as estimates of true minimum extended Gini hedge ratios. The second essay, “Multiperiod Strip Hedging of Forward Commitments,” examines the use of a multiperiod strip hedging strategy to hedge a forward commitment. A strip hedge is theoretically superior to single-futures strategies when the hedger is exposed to multiple sources of risk. However, single-futures strategies, such as stack-and-roll and single-period hedges, dominate the hedging literature. This essay compares the effectiveness of a multiperiod strip hedge strategy to that of stack-and-roll and single-period hedge strategies. In terms of risk reduction, the strip hedge strategy either outperforms, or performs no worse than, the stack-and-roll and single-period hedges. Moreover, the relative performance of the strip hedge is directly related to the presence of multiple risk sources. Additionally, the strip hedge strategy is more profitable than the competing strategies in all cases but one. Last, the strip hedge is potentially more costly to implement and maintain than either the stack-and-roll or single-period hedges, and the relative cost of the strip hedge varies directly with the incremental benefit of using the strip hedge. This suggests that risk reduction is not a free exercise; it comes at a cost. Opini Anda Klik untuk menuliskan opini Anda tentang koleksi ini! Lihat Sejarah Pengadaan  Konversi Metadata   Kembali

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