Hedge Funds are considered as one of the portfolio management sectors which shows a fastest growing for the past decade. An optimal Hedge Fund management requires a high precision risk evaluation and an appropriate risk metrics. The classic CAPM theory and its Ratio Sharpe fail to capture some crucial aspects due to the strong non-Gaussian character of Hedge Funds statistics. A possible way out...

In this paper, we define hedge operation on a residuated skew lattice and investigate some its properties. We get relationships between some special sets as dense, nilpotent, idempotent, regular elements sets and their hedges.  By examples, we show that hedge of a dense element is not a dense and hedge of a regular element is not a regular. Also hedge of a nilpotent element is a nilpotent and h...

After devising expectational measures of production, price and exchange rate uncertainty, this paper presents a model to derive an optimal hedging strategy for a primary producer who is subject to variability on the price and the amount of its output and on the exchange rate risk when the final proceeds of its sales are not denominated in its currency of numeraire. In this model, it is assumed ...

JOT YAU IS a professor of finance at Mbers School of Business .iiid Economics. Seattle University in Seattle, WA. ,[email protected] T he significant growth of the hedge funds industry in the past decade has heen supplemented by increased allocations to alternative investments by high-net-worth individuals as well as endowments and foundations. In recetit years, there has been a steady shift i...

The likelihood ratio method [BG96] provides a tool for the calculation of hedge ratios and risk parameters with Monte Carlo calculations. In this article, we present the extension of existing likelihood ratio methods to multiple underlyings and to higher order sensitivities such as the crossderivatives on the underlyings, and how the method can be used in a displaced diffusion [Rub83] framework...

In the broad literature of corporate risk management classic models of optimal hedging assume a one-period hedging decision, and therefore no financing need arises to maintain the hedge position. The multi-period models are usually based on the assumption of no liquidity constraints, and accordingly the eventual financing need can always be met from the market. As a consequence of the recent cr...

Life insurance products often contain embedded options in the form of profit sharing and guaranteed returns on premiums deposited by the customer. The value of these embedded options is exposed to market risks. This thesis describes a method to find good hedge portfolios of swaptions to hedge the market risks of the embedded options. In addition, a method is described to monitor and clarify the...

In this paper, the financial engineering minimum risk-based portfolio hedging model is first analyzed. It is then followed by the investigation on various major estimation methods for the minimum risk hedge ratio. The results revealed in the current study show that the HR obtained by the ordinary least squares (OLS) model is maximal and the out-of-sample hedging performance is the best; however...