Methods for Selecting the Optimal Dynamic Hedge When Production is Stochastic
نویسندگان
چکیده
منابع مشابه
Optimal compensation contracts when managers can hedge
This paper examines optimal compensation contracts when executives can hedge their personal portfolios. In a simple principal-agent framework, I predict that the Chief Executive Officer’s (CEO’s) pay-performance sensitivity decreases with the executivehedging cost. Empirically, I find evidence supporting the model’s prediction. Providing further support for the theory, I show that shareholders ...
متن کاملThe Dynamic International Optimal Hedge Ratio
Instead of modeling asset price and currency risks separately, this paper derives the international hedge portfolio, hedging asset price and currency risk simultaneously for estimating the dynamic international optimal hedge ratio. The model estimation is specified in a multivariate GARCH setting with vector error correction terms and estimated for the commodity and stock markets of the U.S., t...
متن کاملDynamic Correlations and Optimal Hedge Ratios
The focus of this article is to compare dynamic correlation models for the calculation of minimum variance hedge ratios between pairs of assets. Finding an optimal hedge requires not only knowledge of the variability of both assets, but also of the co-movement between the two assets. For this purpose, use is made of industry standard methods, like the naive hedging or the CAPM approach, more ad...
متن کاملfaciliting lexical access for the fluent production of speech
the hypothesis is that recent and frequent exposure to lexical items leads to a more fluent production of speech in terms of rate of speech. to test the hypothesis,a one-way anova experimental design was carried out. 24 sednior students of efl participated in a one-way interview test. data analyses revealed that those who were exposed frequently to the lexical items over a week prior to inter...
15 صفحه اولfacilitating lexical access for the fluent production of speech
the hypothesis is that recent and frequent exposure to lexical items leads to a more fluent production of speech in terms of rate of speech. to test the hypothesis , a one- way anova experimental design was carried out. 24 senior student of efl participated in a one-way interview test. data analyses revealed that those who were exposed frequently to the lexical items over a week prior to inte...
15 صفحه اولذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: American Journal of Agricultural Economics
سال: 1987
ISSN: 0002-9092,1467-8276
DOI: 10.2307/1241699