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Optimization of Coverage Ratios for Basis and Freight Trading Portfolios.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Optimization of Coverage Ratios for Basis and Freight Trading Portfolios./
Author:	Kroll, Adam Joseph.
Published:	Ann Arbor : ProQuest Dissertations & Theses, : 2021,
Description:	151 p.
Notes:	Source: Masters Abstracts International, Volume: 83-03.
Contained By:	Masters Abstracts International83-03.
Subject:	Finance. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=28547727
ISBN:	9798535533414

Optimization of Coverage Ratios for Basis and Freight Trading Portfolios.
Kroll, Adam Joseph.

Optimization of Coverage Ratios for Basis and Freight Trading Portfolios. - Ann Arbor : ProQuest Dissertations & Theses, 2021 - 151 p.

Source: Masters Abstracts International, Volume: 83-03.

Thesis (M.S.)--North Dakota State University, 2021.

This item must not be sold to any third party vendors.

Changing commodity prices create opportunities for traders to profit or experience substantial losses if risk is not managed. Extensive research has been presented regarding optimal hedging strategies using futures markets to mitigate price risk of holding a physical commodity, but the literature has not introduced a method for optimizing basis or rail coverage ratios. This study introduces coverage ratios to manage basis and transportation risk. Coverage ratios are optimized for a portfolio of basis and rail positions consistent with expected utility theory using Monte Carlo simulation at various risk aversion levels. The results indicated that as risk aversion increased, optimal coverage levels increased while profit and standard deviations of profits decreased. Sensitivity analysis is used to demonstrate the effects of changing intermarket correlations, standard deviations of individual markets, and time to liquidation. This study provides insight into managing basis and rail portfolios and presents implications for traders and risk managers.

ISBN: 9798535533414Subjects--Topical Terms:

542899
Finance.
Subjects--Index Terms:

Optimization

Optimization of Coverage Ratios for Basis and Freight Trading Portfolios.
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100 1 $a Kroll, Adam Joseph. $0 (orcid)0000-0002-2606-3312 $3 3687223
245 1 0 $a Optimization of Coverage Ratios for Basis and Freight Trading Portfolios.
260 1 $a Ann Arbor : $b ProQuest Dissertations & Theses, $c 2021
300 $a 151 p.
500 $a Source: Masters Abstracts International, Volume: 83-03.
500 $a Advisor: Wilson, William.
502 $a Thesis (M.S.)--North Dakota State University, 2021.
506 $a This item must not be sold to any third party vendors.
520 $a Changing commodity prices create opportunities for traders to profit or experience substantial losses if risk is not managed. Extensive research has been presented regarding optimal hedging strategies using futures markets to mitigate price risk of holding a physical commodity, but the literature has not introduced a method for optimizing basis or rail coverage ratios. This study introduces coverage ratios to manage basis and transportation risk. Coverage ratios are optimized for a portfolio of basis and rail positions consistent with expected utility theory using Monte Carlo simulation at various risk aversion levels. The results indicated that as risk aversion increased, optimal coverage levels increased while profit and standard deviations of profits decreased. Sensitivity analysis is used to demonstrate the effects of changing intermarket correlations, standard deviations of individual markets, and time to liquidation. This study provides insight into managing basis and rail portfolios and presents implications for traders and risk managers.
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650 4 $a Elevators & escalators. $3 3687224
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653 $a Coverage ratios
653 $a Trading portfolio
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