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SSRN Electronic Journal, 2013
This article introduces an algorithm for tail risk hedging and compares it to other existing methods. This algorithm adjusts the exposure level based on a measure of tail risk obtained by applying Extreme Value Theory (EVT) to estimate Conditional Value at Risk (CVaR). This method is applied to the SP additionally it can replace long/short equity hedge
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This article introduces an algorithm for tail risk hedging and compares it to other existing methods. This algorithm adjusts the exposure level based on a measure of tail risk obtained by applying Extreme Value Theory (EVT) to estimate Conditional Value at Risk (CVaR). This method is applied to the SP additionally it can replace long/short equity hedge
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Bet‐Hedging Diapause Strategies in Stochastic Environments
The American Naturalist, 2000In many insect species, adult emergence spreads over several years because of the existence of prolonged diapause in certain individuals. From stochastic models, we show that diversified bet-hedging strategies (mixed strategies with emergence after 1 or 2 yr) are more fit than simple diapause strategy (emergence after 1 yr) or fixed prolonged diapause ...
Menu, F., Roebuck, J.P., Viala, M.
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Hedge Strategies for Baskets, Swaptions, and Macro Hedges
2013Managing a credit portfolio through an economic cycle necessitates a view on credit-related developments and related consequences for the specific portfolio. Most of the time, a portfolio manager faces considerable uncertainty when forecasting risk drivers and macroeconomic factors, and even more importantly potential interventions by policymakers ...
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1991
In this chapter I will examine the applications of options for hedging fixed income securities. Across the globe, futures and option contracts on Bonds, Gilts, or Bundesanleihen have proved to be among the most successful of all derivative products. In this chapter I will examine the first and most successful of the Government Fixed income derivative ...
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In this chapter I will examine the applications of options for hedging fixed income securities. Across the globe, futures and option contracts on Bonds, Gilts, or Bundesanleihen have proved to be among the most successful of all derivative products. In this chapter I will examine the first and most successful of the Government Fixed income derivative ...
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The Best Hedging Strategy in the Presence of Transaction Costs
SSRN Electronic Journal, 2008Considerable theoretical work has been devoted to the problem of option pricing and hedging with transaction costs. A variety of methods have been suggested and are currently being used for dynamic hedging of options in the presence of transaction costs.
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Analysis and classification of hedge funds and hedge strategies
2008An objective of my graduation thesis is an analysis of hedge funds and hedge strategies while reflecting the distribution of the investments to right portfolio taking into account the risk. The main aim is to provide clear and consistent classification of whole variety of different hedge styles and strategies.
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Option pricing under mixed hedging strategy in time-changed mixed fractional Brownian model
Journal of Computational and Applied Mathematics, 2022Kyong-Hui Kim
exaly
2012
The aim of this dissertation is to investigate the strategies employed by successful hedge funds and analyse these funds’ performance on the basis of those strategies. This research is done to throw light on the performance analysis of hedge funds strategies, the implementation of these strategies, their benefits and the risk involved in them.
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The aim of this dissertation is to investigate the strategies employed by successful hedge funds and analyse these funds’ performance on the basis of those strategies. This research is done to throw light on the performance analysis of hedge funds strategies, the implementation of these strategies, their benefits and the risk involved in them.
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Investment Strategies of Hedge Funds
2016Investment strategies, narrowly speaking, encompass and describe the behaviors and decisional assumptions of the entities investing on the market. An investment strategy is a set of rules and patterns of behavior, through which an investor intends to pursue his/her orders of buying and selling on a given market.
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