With the dramatic growth of scientific publishing, Information Extraction (IE) systems are becoming an increasingly important tool for large scale data analysis. Hedge detection and uncertainty classification are important components of a high precision IE system. This paper describes a two part supervised system which classifies words as hedge or nonhedged and sentences as certain or uncertain...

This paper investigates the hedging effectiveness of the Standard & Poor’s (S&P) 500 stock index futures contract using weekly settlement prices for the period July 3, 1992 to June 30, 2002. Particularly, it focuses on three areas of interest: the determination of the appropriate model for estimating a hedge ratio that minimizes the variance of returns; the hedging effectiveness and the stabili...

We solve the problem of pricing and hedging Asian-style options on energy with a quadratic risk criterion when trading in the underlying future is restricted. Liquid trading in the future is only possible up to the start of a so-called delivery period. After the start of the delivery period, the hedge positions can not be adjusted anymore until maturity. This reflects the trading situation at t...

terest in alternative investments, a significant gap has emerged between the culture and expectations of those investors and hedge fund managers. Pension plan sponsors typically require transparency from their managers and impose numerous restrictions on their investment mandates because of regulatory requirements such as ERISA rules; hedge fund managers rarely provide position-level transparen...

This paper features an analysis of the effectiveness of a range of portfolio diversification strategies as applied to a set of 17 years of monthly hedge fund index returns on a set of ten market indices representing 13 major hedge fund categories, as compiled by the EDHEC Risk Institute. The 17-year period runs from the beginning of 1997 to the end of August 2014. The sample period, which incor...

We consider rewriting systems for unranked ordered terms, i.e. trees where the number of successors of a node is not determined by its label, and is not a priori bounded. The rewriting systems are defined such that variables in the rewrite rules can be substituted by hedges (sequences of terms) instead of just terms. Consequently, this notion of rewriting subsumes both standard term rewriting a...

This paper studies the linguistic truth value domain (AX) based on finite monotonous hedge algebra and then we extend lukaseiwicz algebra on [0,1] to linguistic lukaseiwicz algebra on linguistic truth value domain (AX), in an attempt to propose a derivatives system based on hedge moving rules and linguistic lukaseiwicz algebra for linguistic reasoning.

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...

Financial and insurance theories explain that large widely-held corporations manage corporate risks if doing so is cost-effective to reduce frictional costs such as taxes, agency costs and financial distress costs. A large number of previous empirical studies, most in the U.S., have tested the hypotheses underlying corporate risk management with financial derivative instruments. In order to qua...

The purpose of this study was to investigate the distribution of functions and forms of hedging devices in the abstracts of master’s theses in two languages (English and Persian) written by Iranian students. To this end, 70 abstracts of M.A. theses were selected as the corpus. The total number of words in both English and Persian abstracts were 19,933 and 23,073, respectively. The categories of...