This paper continues our investigation on hedge albebras [6]. We extend hedge algebras by two additional operations corresponding to infimum and supremum of the so-called concept category of an element x, i.e. the set which is generated from x by means of the hedge operations. It is shown that every extended hedge algebra with a lattice of the primary generators is a lattice. In the symmetrical...

This paper analyzes hedge fund investors’ geographical preference and its implication for hedge fund performance. We document that funds of funds overweigh their investments in hedge funds located in the same cities by 6 to 15 percent. We also find that funds of funds with a stronger local bias exhibit superior performance. However, this local bias of funds of funds can adversely impact the hed...

It is shown that any sets of linguistic values of linguistic variables can be axiomatized, which leads to a notion of hedge algebras. Some intuitive properties of linguistic hedges, which are a basis of the axiomatization of the hedge algebras, are discussed informally. The characteristics of the hedge algebras depend on such a discussion and they seem to reflect the natural structure of sets o...

Chinese commodity futures markets have become some of the most important derivative markets worldwide. This paper studies the optimal hedge ratios on two popular contracts in China, soybeans and copper, by employing copula functions. Our empirical results suggest that the proposed copula hedging strategy outperforms the simple regression method and dynamic conditional correlation (DCC) method b...

We develop a methodology to optimally design a financial issue to hedge non-tradable risk on financial markets. Economic agents assess their risk using monetary risk measure. The inf-convolution of convex risk measures is the key transformation in solving this optimization problem. When agents’ risk measures only differ from a risk aversion coefficient, the optimal risk transfer is amazingly eq...

1 Introduction This paper is concerned with the use of stock indices futures to hedge the return on portfolios. This topic has received considerable attention in the literature, which will be briefly summarised in section 2 of the paper. First of all it is desirable to consider the nature of hedging. The main aim of hedging is assumed to be the minimisation of the variance of the return on the ...

In this paper the performance of locally risk-minimizing delta hedge strategies for European options in stochastic volatility models is studied from an experimental as well as from an empirical perspective. These hedge strategies are derived for a large class of diffusion-type stochastic volatility models, and they are as easy to implement as usual delta hedges. Our simulation results on model ...

the language used by women and men differ in all speech communities. in order to examine some of these variations, the present study aimed to investigate the differences in an informal written discourse. for this purpose, a comparison between men’s and women’s informal language was made regarding length of utterances, questions, intensifiers, and hedges. results revealed that men employed highe...

We propose a long term portfolio management method which takes into account a liability. Our approach is based on the LQG (Linear, Quadratic cost, Gaussian) control problem framework and then the optimal portfolio strategy hedges the liability by directly tracking a benchmark process which represents the liability. Two numerical results using empirical data published by Japanese organizations a...