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The determination of an optimal hedg...

Li, Gang.

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The determination of an optimal hedge ratio and generalized measure of risk.

Record Type:	Electronic resources : Monograph/item
Title/Author:	The determination of an optimal hedge ratio and generalized measure of risk./
Author:	Li, Gang.
Description:	46 p.
Notes:	Source: Masters Abstracts International, Volume: 44-06, page: 2592.
Contained By:	Masters Abstracts International44-06.
Subject:	Economics, Finance. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=MR14371
ISBN:	9780494143711

The determination of an optimal hedge ratio and generalized measure of risk.
Li, Gang.

The determination of an optimal hedge ratio and generalized measure of risk. - 46 p.

Source: Masters Abstracts International, Volume: 44-06, page: 2592.

Thesis (M.Sc.)--Concordia University (Canada), 2006.

The use of futures contracts as hedging instruments to reduce risk has been the focus of much research. Various risk measures have been developed and have subsequently been employed in an effort to create hedging strategies and to calculate optimal hedge ratios. This thesis proposes a more generalized risk model to measure the risk of hedged assets. The five-parameter model presented herein assumes that each investor has a different target return, level of risk aversion, and degree of sensitivity to lower and higher partial moments. The optimal hedging activity for each investor should then seek to minimize the unique generalized risk measure. This paper utilizes an out-of-sample test on a hedged position in the S&P500 index in the period from December 1982 to December 2004. Tests are conducted to determine whether the change of target returns and sensitivity parameters will affect optimal hedge ratios. In addition, whether hedging effectiveness changes significantly in-sample versus out-of-sample, and between each model and a naive hedging strategy is investigated. Also, mean returns of hedged portfolios are compared for various models.

ISBN: 9780494143711Subjects--Topical Terms:

626650
Economics, Finance.

The determination of an optimal hedge ratio and generalized measure of risk.
LDR:02361nmm 2200253 4500 001 1834145
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020 $a 9780494143711
035 $a (UMI)AAIMR14371
035 $a AAIMR14371
040 $a UMI $c UMI
100 1 $a Li, Gang. $3 1278067
245 1 4 $a The determination of an optimal hedge ratio and generalized measure of risk.
300 $a 46 p.
500 $a Source: Masters Abstracts International, Volume: 44-06, page: 2592.
502 $a Thesis (M.Sc.)--Concordia University (Canada), 2006.
520 $a The use of futures contracts as hedging instruments to reduce risk has been the focus of much research. Various risk measures have been developed and have subsequently been employed in an effort to create hedging strategies and to calculate optimal hedge ratios. This thesis proposes a more generalized risk model to measure the risk of hedged assets. The five-parameter model presented herein assumes that each investor has a different target return, level of risk aversion, and degree of sensitivity to lower and higher partial moments. The optimal hedging activity for each investor should then seek to minimize the unique generalized risk measure. This paper utilizes an out-of-sample test on a hedged position in the S&P500 index in the period from December 1982 to December 2004. Tests are conducted to determine whether the change of target returns and sensitivity parameters will affect optimal hedge ratios. In addition, whether hedging effectiveness changes significantly in-sample versus out-of-sample, and between each model and a naive hedging strategy is investigated. Also, mean returns of hedged portfolios are compared for various models.
520 $a This thesis makes three important contributions. First, this study is the first to implement both higher and lower partial moments in the determination of optimal hedge ratios. Second, an out-of-sample test is considered while most studies use only in-sample tests. Third, this thesis is the first to use discontinuous sample periods to separate market conditions and to analyze hedging performance in bull and bear markets.
590 $a School code: 0228.
650 4 $a Economics, Finance. $3 626650
690 $a 0508
710 2 0 $a Concordia University (Canada). $3 1018569
773 0 $t Masters Abstracts International $g 44-06.
790 $a 0228
791 $a M.Sc.
792 $a 2006
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=MR14371