dc.contributor |
Allen, Paul J. |
|
dc.contributor |
Midkiff, K. Clark |
|
dc.contributor |
Moore, Robert L. |
|
dc.contributor |
Neggers, Joseph |
|
dc.contributor.advisor |
Wu, Zhijian |
|
dc.contributor.author |
Ginting, Maydison |
|
dc.date.accessioned |
2017-03-01T16:24:17Z |
|
dc.date.available |
2017-03-01T16:24:17Z |
|
dc.date.issued |
2011 |
|
dc.identifier.other |
u0015_0000001_0000812 |
|
dc.identifier.other |
Ginting_alatus_0004D_10864 |
|
dc.identifier.uri |
https://ir.ua.edu/handle/123456789/1316 |
|
dc.description |
Electronic Thesis or Dissertation |
|
dc.description.abstract |
This dissertation consolidates previous research on an optimal strategy to reduce the running risk in hedging a long-term supply commitment with short-dated futures contracts. By introducing a cap function, this dissertation defines scenarios of running risk over the hedging horizon. We introduce a linear cap function and wish to find a hedging strategy G with the smallest constant F such that the variance of the cumulative cash flow is less than or equal the multiplication of a cap function and the constant F. The objective is to seek the best function G(s) to cap the variance of cash flow under a given non-negative cap function. We also implement the result in MATLAB by creating a Graphical User Interface application that enables the user to see the various results of the variance of cash flow of the best hedging scenario. |
|
dc.format.extent |
78 p. |
|
dc.format.medium |
electronic |
|
dc.format.mimetype |
application/pdf |
|
dc.language |
English |
|
dc.language.iso |
en_US |
|
dc.publisher |
University of Alabama Libraries |
|
dc.relation.ispartof |
The University of Alabama Electronic Theses and Dissertations |
|
dc.relation.ispartof |
The University of Alabama Libraries Digital Collections |
|
dc.relation.hasversion |
born digital |
|
dc.rights |
All rights reserved by the author unless otherwise indicated. |
|
dc.subject.other |
Mathematics |
|
dc.title |
Capping the variance of cash flow of hedging strategy |
|
dc.type |
thesis |
|
dc.type |
text |
|
etdms.degree.department |
University of Alabama. Dept. of Mathematics |
|
etdms.degree.discipline |
Mathematics |
|
etdms.degree.grantor |
The University of Alabama |
|
etdms.degree.level |
doctoral |
|
etdms.degree.name |
Ph.D. |
|