Hedging as a derivatives instrument is one of the practices in risk management. The hedging decision, among other things, comprises forwards, futures, options, and swaps. This study analyzes managerial ownership, financial distress, leverage, liquidity, profitability, company size on decisions. was conducted mining sector listed IDX 2016-2020. samples were 27 companies that selected based purpo...

We present a method of optimal hedging and pricing of equity-linked life insurance products in an incomplete discrete-time financial market. A pure endowment life insurance contract with guarantee is used as an example. The financial market incompleteness is caused by the assumption that the underlying risky asset price ratios are distributed in a compact interval, generalizing the assumptions ...

This paper examines the volatility and covariance dynamics of cash and futures contracts that underlie the Optimal Hedge Ratio (OHR) across different hedging time horizons. We examine whether hedge ratios calculated over a short term hedging horizon can be scaled and successfully applied to longer term horizons. We also test the equivalence of scaled hedge ratios with those calculated directly ...

We use asymptotic analysis to derive the optimal hedging strategy for an option portfolio hedged using an imperfectly correlated hedging asset with small transaction costs, both fixed per trade and proportional to the value traded. In special cases we opbtain explicit formulae. The hedging strategy involves holding a position in the hedging asset whose value lies between two bounds, which are i...

This paper examines the effect of the maturity of the futures contact used as the hedging instrument on the effectiveness of futures hedging. For this purpose, daily and monthly data on the WTI crude oil futures and spot prices are used to work out the hedge ratios and the measures of hedging effectiveness resulting from using the near-month contract and those resulting from the use of a more d...

We consider the problem of dynamically hedging the profits of a corporation when these profits are correlated with returns in the financial markets. In particular, we consider the general problem of simultaneously optimizing over both the operating policy and the hedging strategy of the corporation. We discuss how different informational assumptions give rise to different types of hedging and s...

In financial markets, errors in option hedging can arise from two sources. First, the option value is a nonlinear function of the underlying; therefore, hedging is instantaneous and hedging with discrete rebalancing gives rise to error. Frequent rebalancing can be impractical due to transaction costs. Second, errors in specifying the model for the underlying price movement (model specification ...

a r t i c l e i n f o In this paper, we explore the impact of investor time-horizon on an optimal downside hedged energy portfolio. The optimal heating oil hedge ratio is first calculated for a variety of downside risk objective functions at different time-horizons using the wavelet transform. Next, associated hedging effectiveness is contrasted for a range of risk metrics, with all metrics sho...

The discourse of the discussion in research articles is regarded to be of considerable significance—as in this section the findings are interpreted in light of previous research and the authors’ argumentations are put forward as a major contribution (see Hyland, 1999). For this reason, the content and structure of the discussion section have been explored in several studies; however, little att...