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ECMS 2023 Proceedings edited by Enrico Vicario, Romeo Bandinelli, Virginia Fani, Michele Mastroianni, 2023
Hedging financial risk is an essential issue but is far from trivial to implement. There are several hedging assets portfolio managers can select from. However, the choice is not without weight: two portfolios hedged against the same risk factor may have different characteristics depending on this hedging asset.
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Hedging financial risk is an essential issue but is far from trivial to implement. There are several hedging assets portfolio managers can select from. However, the choice is not without weight: two portfolios hedged against the same risk factor may have different characteristics depending on this hedging asset.
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Operations Research, 2023
The paper “Pre-hedging” studies a dealer that pre-hedges an anticipated potential trade and analyses how this affects the client’s overall execution outcome. It shows that pre-hedging can benefit both parties: Improved risk management over an extended horizon then enables the dealer to charge reduced spreads that more than offset any adverse impact the
Johannes Muhle-Karbe, Roel Oomen
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The paper “Pre-hedging” studies a dealer that pre-hedges an anticipated potential trade and analyses how this affects the client’s overall execution outcome. It shows that pre-hedging can benefit both parties: Improved risk management over an extended horizon then enables the dealer to charge reduced spreads that more than offset any adverse impact the
Johannes Muhle-Karbe, Roel Oomen
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Journal of Mathematical Economics, 2002
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Aliprantis, Charalambos D. +2 more
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Aliprantis, Charalambos D. +2 more
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SIAM Journal on Control and Optimization, 1982
A continuous game is discussed in which two opposing players move in turn, and an algorithm is developed which finds an optimal strategy for the player moving first. The algorithm is characterized by a fictitious sequence of alternating plays in which the first player selects his strategies by hedging against all his opponent's strategies played up ...
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A continuous game is discussed in which two opposing players move in turn, and an algorithm is developed which finds an optimal strategy for the player moving first. The algorithm is characterized by a fictitious sequence of alternating plays in which the first player selects his strategies by hedging against all his opponent's strategies played up ...
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To Hedge or Not to Hedge: A Pragmatic Study of Hedging in Jordanian Arabic
International Journal of Arabic-English StudiesThis study aims to explore the frequency of use and types of hedging devices produced by Jordanian Arabic speakers. The study also seeks to ascertain the pragmatic functions of hedging in Jordanian Arabic. Two types of instruments are employed; a survey instructing the participants to provide some instances from their daily use of language ...
Yazan Shaker Almahameed +1 more
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To Hedge or Not to Hedge? (Part II)
ICFA Continuing Education Series, 1989This presentation comes from the Managing Currency Risk conference held in Boston, Massachusetts, on June 22, 1989.
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The Journal of Portfolio Management, 2001
In addition to attractive returns, many hedge funds claim to provide significant diversification for traditional portfolios. This paper empirically examines the return and diversification benefits of hedge fund investing using the CSFB/Tremont hedge fund indices from 1994-2000.
Clifford S. Asness +2 more
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In addition to attractive returns, many hedge funds claim to provide significant diversification for traditional portfolios. This paper empirically examines the return and diversification benefits of hedge fund investing using the CSFB/Tremont hedge fund indices from 1994-2000.
Clifford S. Asness +2 more
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Hedging and Cross-hedging ETFs [PDF]
, 2007 This paper presents an empirical study of hedging the four largest US index exchange traded funds (ETFs). When hedging each ETF position with its own index futures we find that it is difficult to improve on the naïve 1:1 futures hedge, that hedging is less effective around the time of dividend payments, and that hedged portfolio returns tend to have ...
Carol Alexander, Andreza Barbosa
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SSRN Electronic Journal, 2016
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zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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The Decision to Hedge and the Extent to Hedge
SSRN Electronic Journal, 2012Using a broad sample of multiple commodity-inputs industries over the period of 1994-2008, the paper investigates the determinants for corporate decisions to commodity hedge and for the extent of hedging separately. Consistent with the literature, I find that firms are more likely to hedge when they are big, have risk management department set up and ...
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