Optimal dynamic hedging strategy with futures oil markets via FIEGARCH-EVT copula models

2012 ◽  
Vol 4 (1) ◽  
pp. 1 ◽  
Author(s):  
Ahmed Ghorbel ◽  
Abdelwahed Trabelsi
Keyword(s):  
Dynamic Hedging ◽  
Hedging Strategy ◽  
Copula Models ◽  
Oil Markets ◽  
Optimal Dynamic

DYNAMIC HEDGING OF INFLATION RISK

2009 ◽  
Vol 05 (01) ◽  
pp. 0950003
Author(s):  
UDO BROLL ◽  
STEFAN SCHUBERT
Keyword(s):  
Futures Markets ◽  
Price Level ◽  
Asset Price ◽  
Risk Averse ◽  
Dynamic Hedging ◽  
Hedging Strategy ◽  
Inflation Risk ◽  
Optimal Dynamic ◽  
Futures Price ◽  
International Investors

National and international investors are exposed to risk, stemming from volatile asset prices and inflation uncertainty. However investors can enter futures markets to hedge against these risks. The paper develops a dynamic hedging model, where the evolution of asset price, price level and futures price and hence real wealth is stochastic. For a risk averse investor, optimal dynamic consumption and hedging strategy are derived and discussed.

The optimal dynamic hedging strategy for Nikkei 225 index and futures

2005 ◽  
Vol 8 (3) ◽  
pp. 477-491
Author(s):  
Chun-Da Chen ◽  
Mingchih Lee ◽  
Jer-Shiou Chiou
Keyword(s):  
Dynamic Hedging ◽  
Hedging Strategy ◽  
Optimal Dynamic

Optimal Dynamic Hedging via Copula-Threshold-GARCH Models

2009 ◽  
Author(s):  
YiHao Lai ◽  
Cathy W. S. Chen ◽  
Richard H. Gerlach
Keyword(s):  
Garch Models ◽  
Dynamic Hedging ◽  
Optimal Dynamic

scholarly journals Why Are Banks Exposed to Monetary Policy?

2021 ◽  
Vol 13 (4) ◽  
pp. 295-340
Author(s):  
Sebastian Di Tella ◽  
Pablo Kurlat
Keyword(s):  
Interest Rates ◽  
Balance Sheet ◽  
Monetary Shocks ◽  
Hedging Strategy ◽  
Cross Sectional ◽  
Time Pattern ◽  
Bank Deposits ◽  
Maturity Mismatch ◽  
Optimal Dynamic ◽  
The Cost

We propose a model of banks’ exposure to movements in interest rates and their role in the transmission of monetary shocks. Since bank deposits provide liquidity, higher interest rates allow banks to earn larger spreads on deposits. Therefore, if risk aversion is higher than one, banks’ optimal dynamic hedging strategy is to take losses when interest rates rise. This risk exposure can be achieved by a traditional maturity-mismatched balance sheet and amplifies the effects of monetary shocks on the cost of liquidity. The model can match the level, time pattern, and cross-sectional pattern of banks’ maturity mismatch. (JEL E43, E44, E51, E52, G21, G32)

Using VIX to Dynamically Hedge Portfolio Risk

GIS Business ◽  
1970 ◽  
Vol 13 (3) ◽  
pp. 15-22
Author(s):  
Richard Cloutier
Keyword(s):  
Asset Allocation ◽  
Market Timing ◽  
Investment Strategy ◽  
Market Risk ◽  
Portfolio Risk ◽  
Dynamic Hedging ◽  
Hedging Strategy ◽  
Tactical Asset Allocation ◽  
Asset Class ◽  
Timing Strategies

Many investors accept buy and hold as their long-term investment strategy. However, during periods of heightened risk, staying disciplined can be problematic. Alternatively, market timing appeals to our emotions but is very difficult to employ successfully. Between these two extremes lies tactical asset allocation, where limited variances are allowed to take advantage of market conditions. Dynamic hedging is a form of tactical asset allocation. Instead of relying on future predictions of asset class returns, dynamic hedging strives to reduce portfolio risk when market risk is elevated. This paper presents a dynamic hedging strategy developed to accomplish this goal. It uses VIXs normal trading range to assess market risk. When VIX trades above its normal trading range and the upper Bollinger band, the dynamic hedging strategy is applied. The result is that portfolio risk is lowered when market risk is extreme. The application of this strategy provides better returns, lower volatility, and better downside protection than a strategic buy and hold allocation. It also avoids the deployment problems associated with market timing strategies.

A dynamic hedging approach for refineries in multiproduct oil markets

Energy ◽  
2011 ◽  
Vol 36 (2) ◽  
pp. 881-887 ◽  
Author(s):  
Qiang Ji ◽  
Ying Fan
Keyword(s):  
Dynamic Hedging ◽  
Oil Markets
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