Capping the variance of cash flow of hedging strategy

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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.


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