Capping the variance of cash flow of hedging strategy
| 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.contributor.other | University of Alabama Tuscaloosa | |
| dc.date.accessioned | 2017-03-01T16:24:17Z | |
| dc.date.available | 2017-03-01T16:24:17Z | |
| dc.date.issued | 2011 | |
| dc.description | Electronic Thesis or Dissertation | en_US |
| 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. | en_US |
| dc.format.extent | 78 p. | |
| dc.format.medium | electronic | |
| dc.format.mimetype | application/pdf | |
| dc.identifier.other | u0015_0000001_0000812 | |
| dc.identifier.other | Ginting_alatus_0004D_10864 | |
| dc.identifier.uri | https://ir.ua.edu/handle/123456789/1316 | |
| dc.language | English | |
| dc.language.iso | en_US | |
| dc.publisher | University of Alabama Libraries | |
| dc.relation.hasversion | born digital | |
| dc.relation.ispartof | The University of Alabama Electronic Theses and Dissertations | |
| dc.relation.ispartof | The University of Alabama Libraries Digital Collections | |
| dc.rights | All rights reserved by the author unless otherwise indicated. | en_US |
| dc.subject | Mathematics | |
| dc.title | Capping the variance of cash flow of hedging strategy | en_US |
| dc.type | thesis | |
| dc.type | text | |
| etdms.degree.department | University of Alabama. Department 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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