نتایج جستجو برای: hedge ratio

تعداد نتایج: 504856  

Journal: :European Journal of Operational Research 2008
Stein-Erik Fleten Snorre Lindset

Multi-period guarantees are often embedded in life insurance contracts. In this paper we consider the problem of hedging these multiperiod guarantees in the presence of transaction costs. We derive the hedging strategies for the cheapest hedge portfolio for a multi-period guarantee that with certainty makes the insurance company able to meet the obligations from the insurance policies it has is...

2006
Monica Billio Mila Getmansky Loriana Pelizzon William Fung Ravi Jagannathan Hossein Kazemi Nikunj Kapadia Camelia Kuhnen Bing Liang Laura Lindsay Andrew Lo Narayan Naik Stephen Schaefer

This article aims to investigate risk exposure of hedge funds using switching regime beta models. This approach allows to analyze hedge fund tail event behavior and in particular the changes in hedge fund exposure conditional on different states of various risk factors. We find that in the normal state of the market, the exposure to risk factors could be very low but as soon as the market risk ...

Journal: :Organization Science 2015
Rui J. P. de Figueiredo Evan Rawley Christopher I. Rider

We present a general framework for understanding why firms are slow to make major strategic changes in a wide range of empirical settings. We then apply this framework to investigate, more specifically, the relationship between firm age and scope in hedge funds. Our empirical analyses demonstrate that younger hedge funds outperform older hedge funds both before and after the launch of a new fun...

2007
Hyuna Park

This paper examines liquidity premium focusing on the difference between offshore and onshore hedge funds. Due to tax provisions and regulatory concerns, offshore and onshore hedge funds have different legal structures, which lead to differences in share restrictions such as a lockup provision. We find that offshore investors collect higher illiquidity premium when their investment has the same...

2007
WILLIAM FUNG DAVID A. HSIEH

Over the past decade, academic research has identifi ed a number of replication strategies capable of capturing between 40% to 80% of the average return of many popular hedge fund strategies. Investors are beginning to take notice of these replication strategies, especially because of their rule based, transparent features and the fact that they can be executed at low cost. Armed with this alte...

Journal: :CoRR 2017
Igor Halperin

This paper presents a discrete-time option pricing model that is rooted in Reinforcement Learning (RL), and more specifically in the famous Q-Learning method of RL. We construct a riskadjusted Markov Decision Process for a discrete-time version of the classical Black-ScholesMerton (BSM) model, where the option price is an optimal Q-function, while the optimal hedge is a second argument of this ...

Journal: :HortTechnology 2004

2014
Yong Chen Bing Han Jing Pan

This paper documents a new and important cross-sectional determinant of hedge fund returns, their exposures to sentiment risk, measured as beta of fund returns to fluctuations in sentiment proxies. For a large sample of equity-oriented hedge funds, those whose sentiment beta ranks in the top decile subsequently outperform the bottom decile by 0.67% per month, after controlling for fund’s exposu...

ژورنال: The Iranian Journal of Botany 2003

با استفاده از شواهد مورفولوژیک و جغرافیایی، نشان داده می‌شود که Hesperis leucoclada Boiss. و Pseudofortuynia esfandiarii Hedge  مترادف‌اند. ترکیب جدید Pseudofortuynia leucoclada Boiss. (Khosravi)  نام صحیح تاکسون است.  قرابت Pseudofortuynia مورد بحث قرار می‌گیرد.

2011
PAUL A. TAYLOR

Motivated by the debate about the economic consequences of mandatory adoption of International Financial Reporting Standards (IFRS), this study investigates the effect of hedge accounting under IFRS on corporate risk management. Using a sample of large UK non-financial firms from 2003 to 2008, we show that the implementation of the new standards reduces the level of asymmetric information faced...

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