Capping the variance of cash flow of hedging strategy

dc.contributorAllen, Paul J.
dc.contributorMidkiff, K. Clark
dc.contributorMoore, Robert L.
dc.contributorNeggers, Joseph
dc.contributor.advisorWu, Zhijian
dc.contributor.authorGinting, Maydison
dc.contributor.otherUniversity of Alabama Tuscaloosa
dc.date.accessioned2017-03-01T16:24:17Z
dc.date.available2017-03-01T16:24:17Z
dc.date.issued2011
dc.descriptionElectronic Thesis or Dissertationen_US
dc.description.abstractThis 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.en_US
dc.format.extent78 p.
dc.format.mediumelectronic
dc.format.mimetypeapplication/pdf
dc.identifier.otheru0015_0000001_0000812
dc.identifier.otherGinting_alatus_0004D_10864
dc.identifier.urihttps://ir.ua.edu/handle/123456789/1316
dc.languageEnglish
dc.language.isoen_US
dc.publisherUniversity of Alabama Libraries
dc.relation.hasversionborn digital
dc.relation.ispartofThe University of Alabama Electronic Theses and Dissertations
dc.relation.ispartofThe University of Alabama Libraries Digital Collections
dc.rightsAll rights reserved by the author unless otherwise indicated.en_US
dc.subjectMathematics
dc.titleCapping the variance of cash flow of hedging strategyen_US
dc.typethesis
dc.typetext
etdms.degree.departmentUniversity of Alabama. Department of Mathematics
etdms.degree.disciplineMathematics
etdms.degree.grantorThe University of Alabama
etdms.degree.leveldoctoral
etdms.degree.namePh.D.
Files
Original bundle
Now showing 1 - 1 of 1
Loading...
Thumbnail Image
Name:
file_1.pdf
Size:
1.13 MB
Format:
Adobe Portable Document Format