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Mean-Variance Portfolio Selection with Inflation Hedging Strategy: a Case of a Defined Contributory Pension Scheme  [cached]
Charles I. Nkeki
Theory and Applications of Mathematics & Computer Science , 2012,
Abstract: In this paper, we consider a mean-variance portfolio selection problem with inflation hedging strategy for a defined contributory pension scheme. We establish the optimal wealth which involves a cash account and two risky assets for the pension plan member (PPM). The ecient frontier is obtained for the three asset classes which gives the PPM the opportunity to decide his or her own risk and wealth. It was found that inflation-linked bond is a suitableasset for hedging inflation risks in an investment portfolio.
Optimal Foreign Exchange Risk Hedging: Closed Form Solutions Maximizing Leontief Utility Function  [PDF]
Yun-Yeong Kim
Theoretical Economics Letters (TEL) , 2018, DOI: 10.4236/tel.2018.814181
Abstract: In this paper, we extend Kim (2013)for the optimal foreign exchange (FX) risk hedging solution to the multiple FX rates and suggest its application method. First, the generalized optimal hedging method of selling/buying of multiple foreign currencies is introduced. Second, the cost of handling forward contracts is included. Third, as a criterion of hedging performance evaluation, there is consideration of the Leontief utility function, which represents the risk averseness of a hedger. Fourth, specific steps are introduced about what is needed to proceed with hedging. There is a computation of the weighting ratios of the optimal combinations of three conventional hedging vehicles, i.e., call/put currency options, forward contracts, and leaving the position open. The closed form solution of mathematical optimization may achieve a lower level of foreign exchange risk for a specified level of expected return. Furthermore, there is also a suggestion provided about a procedure that may be conducted in the business fields by means of Excel.
Analyses of foreign portfolio investment at Bucharest Stock Exchange in Global Financial Crisis
Daniela En?chescu,Mirela Matei,Dorel Dusm?nescu
IBIMA Business Review , 2009,
Abstract: The globalisation of financial markets, facilitated by new technology, under which a shock in one region is rapidly transmitted to other centres all over the globe, had ensured that, in less than a year, the USA financial crisis has spread across the continents, including countries that are not so very linked regarding financial markets. The capital market in Romania is a market of shares, bonds market being in a process of development, a phenomenon specific to the countries of Central and Eastern Europe. Unfortunately, the weak integration of our stock exchange on international and European financial market and a poor transparency of the transaction at BSE established a masive turmoil of the BSE activity. In this paper the authors will try to analyse the impact of the USA financial crisis in Romanian Stock Exchange markets, especially the foreign portfolio investment in BSE.
A MODEL OF HETEROGENEOUS DISTRIBUTED SYSTEM FOR FOREIGN EXCHANGE PORTFOLIO ANALYSIS  [cached]
Dragutin Kermek,Neven Vr?ek,Tomislav Jakupi?
Journal of Information and Organizational Sciences , 2006,
Abstract: The paper investigates the design of heterogeneous distributed system for foreign exchange portfolio analysis. The proposed model includes few separated and dislocated but connected parts through distributed mechanisms. Making system distributed brings new perspectives to performance busting where software based load balancer gets very important role. Desired system should spread over multiple, heterogeneous platforms in order to fulfil open platform goal. Building such a model incorporates different patterns from GOF design patterns, business patterns, J2EE patterns, integration patterns, enterprise patterns, distributed design patterns to Web services patterns. The authors try to find as much as possible appropriate patterns for planned tasks in order to capture best modelling and programming practices.
MEAN–VARIANCE–SKEWNESS–KURTOSIS APPROACH TO PORTFOLIO OPTIM ZATION: AN APPLICATION IN ISTANBUL STOCK EXCHANGE
Burcu ARACIO?LU,Fatma DEM?RCAN,Haluk SOYUER
Ege Academic Review , 2011,
Abstract: Portfolio optimization, the construction of the best combination of investment instruments that will meet the investors’ basic expectations under certain limitations, has an important place in the finance world. In the portfolio optimization, the Mean Variance model of Mar-kowitz (1952) that expresses a tradeoff between return and risk for a set of portfolios, has played a critical role and affected other studies in this area. In the Mean Variance model, only the covariances between securi-ties are considered in determining the risk of portfolios. The model is based on the assumptions that investors have a quadratic utility function and the return of the securities is distributed normally. Various studies that investigate the validity of these assumptions find evidence against them. Asset returns have significant skewness and kurtosis. In the light of these findings, it is seen that in recent years researchers use higher order of moments in the portfolio selection (Konno et al, 1993; Chunhachinda et al, 1997; Liu et al, 2003; Harvey et al, 2004; Jondeau and Rockinger, 2006; Lai et al, 2006; Jana et al, 2007; Maringer and Parpas, 2009; Briec et al, 2007; Taylan and Tatl dil, 2010).In this study, in the mean- variance- skewness- kurtosis framework, multiple conflicting and competing portfolio objectives such as maximizing expected return and skewness and minimizing risk and kurtosis simultaneously, will be addressed by construction of a poly-nomial goal programming (PGP) model. The PGP model will be tested on Istanbul Stock Exchange (ISE) 30 stocks. Previous empirical results indicate that for all investor preferences and stock indices, the PGP approach is highly effective in order to solve the multi conflicting portfolio goals in the mean – variance - skewness – kurtosis frame-work. In this study, portfolios will be formed in accordance with the investor preferences over incorporation of higher moments. The ef-fects of preferences both on the combination of stocks in the port-folios and descriptive statistics of portfolio returns will be analyzed. Another aim of this study is to investigate the impacts of the incor-poration of skewness and kurtosis of asset returns into the portfolio optimization on portfolios’ returns descriptive statistics
对积极的一般预防论中量刑基准的反思及其启示
Hedging foreign exchange through regime-switchingdynamic Copula model
 [PDF]

李冠煜
TANG Tao
, XIE Chi

- , 2015, DOI: 1672-3104(2015)01-0059-07
Abstract: 摘 要: 刑罚目的与量刑基准关系密切,量刑时必须考虑预防犯罪的目的。积极的一般预防论在目的刑论中占据着重要地位,它试图从提升公民的法律信仰、发扬公众的守法精神、强化一般人的法律忠诚信念的角度正面论证一般预防的积极效果。但是,它所提倡的量刑基准可能不利于实现预防效果,无助于提供清晰的刑罚限度,导致处罚的扩大化和严厉化。通过反思积极的一般预防论中量刑基准的缺陷,可以给我国刑法理论带来深刻的启示。
Abstract: Ever since the foreign currency exchange rate system reform in 2005, the indeterminacy of RMB exchange rate and the foreign exchange risk have greatly increased. Hence, it is immediately imperative to strengthen foreign exchange risk management. Considering that hedge by using foreign currency futures contracts is an important means of managing the foreign exchange risk, we can develop a hedging model based on regime-switching dynamic Copula model to manage the foreign exchange risk. Firstly, we can describe the spot and futures marginal distributions of EUR, JPY, GBP, AUD and CAD by using GJR-t model. Secondly, we can introduce regime-switching dynamic Copula model to tell the dependence between the spots and futures of EUR, JPY, GBP, AUD and CAD. Finally, a comparative analysis is conducted between regime-switching dynamic Copula model and OLS, DCC GARCH, DCC Gaussian Copula model. The empirical results show that the regime switching dynamic Copula model is superior to other models in the effect of hedging, and that hedging can mitigate the foreign exchange risk effectively
基于状态转换动态Copula模型的外汇套期保值研究
Hedging foreign exchange through regime-switchingdynamic Copula model
 [PDF]

唐韬,谢赤
TANG Tao
, XIE Chi

- , 2015, DOI: 1672-3104(2015)01-0104-07
Abstract: 摘 要: 汇改以来,人民币汇率波动的不确定性增大,外汇风险加剧,在此形势下加强外汇风险管理势在必行。考虑到利用外汇期货合约进行套期保值是管理外汇风险的一个重要方法,因此可建立一个状态转换动态Gaussian Copula套期保值模型来对外汇风险进行管理。首先采用GJR-t模型描述欧元、日元、英镑、澳元和加元的现货和期货收益率的边际分布;然后引入状态转换动态Copula函数描述上述五种货币的现货和期货收益率之间的相关性;最后将状态转换动态Gaussian Copula模型与OLS,DCC GARCH,DCC Gaussian Copula等模型的套期保值效率进行比较。实证结果表明,所构建的模型优于其他模型,利用该策略模型能有效规避外汇风险。
Abstract: Ever since the foreign currency exchange rate system reform in 2005, the indeterminacy of RMB exchange rate andthe foreign exchange risk have greatly increased. Hence, it is immediately imperative to strengthenforeign exchange risk management. Considering that hedge by using foreign currency futures contracts is an important means of managing the foreign exchange risk, we can develop a hedging model based on regime-switching dynamic Copula model to manage the foreign exchange risk. Firstly, we can describe the spot and futures marginal distributions of EUR, JPY, GBP, AUD and CAD by using GJR-t model. Secondly, we can introduce regime-switching dynamic Copula modelto tell the dependence between the spots and futures of EUR, JPY, GBP, AUD and CAD. Finally, a comparative analysis is conducted between regime-switching dynamic Copula model and OLS, DCC GARCH, DCC Gaussian Copula model. The empirical results show that the regime switching dynamic Copula model is superior to other models in the effect of hedging, and that hedging can mitigate the foreign exchange risk effectively
Portfolio Optimization of Some Stocks on the Ghana Stock Exchange Using the Markowitz Mean-Variance Approach  [PDF]
Anuwoje Ida Logubayom, Togborlo Annani Victor
Journal of Financial Risk Management (JFRM) , 2019, DOI: 10.4236/jfrm.2019.81003
Abstract:
An investment portfolio is a collection of financial assets consisting of investment tools such as stocks, bonds, and bank deposits, among others, which are held by a person or a group of persons. Constructing a portfolio with standardized optimization remains a myth in Ghana and hence this study displayed how the Markowitz model can be applied on the Ghana Stock Exchange and also unraveled the most efficient portfolio among selected stocks to the relief of the investor. Historical monthly data of the stock returns from 2011 to 2016 was used for the study. The study revealed that, GCB Bank limited had the best average returns (returns of 4.2%) with a risk of 13.1% followed by CAL (returns of 3.5%) and 11.7% risk. UGL had the lowest risk (risk of 6.8%) and lowest average returns of 2.1%. A risk lover may go in for GCB and CAL while an investor who is completely risk averse can opt for UGL since it comes with the lowest risk. A two-way combination of the portfolios also concluded that, the most efficient portfolio is the combination of GCB and CAL and recommended that a risk tolerant investor can invest all his assets in GCB while a risk averse investor can invest 39.21% of his assets in GCB and 60.79% in CAL. In terms of expected returns, a combination of CAL and GCB bank limited gives the highest returns of about 3.9% with a risk of 10.6%, followed by the combination of TOTAL and GCB with expected returns of about 3.40% and a high risk of 12.3%. The relatively high expected return of the combination of TOTAL and GCB could not reflect in the Sharpe ratio because of the high level of risk which implies that the portfolio cannot compensate much for this high level of risk. Also, CAL and GCB achieving the highest Sharpe ratio shows that, this portfolio is expected to offer the best compensation for the risk taken by an investor and therefore the most efficient portfolio for investor. The lowest risk (which is what the risk averse investor is interested in) was achieved from the combination of HFC and UGL which is 5.2% with a Sharpe ratio of 6.7% and a covariance of -0.00051.
The Feedback Effect of Hedging in Portfolio Optimization  [PDF]
Pierre Henry-Labordere
Physics , 2004,
Abstract: In this short note, we will show how to optimize the portfolio of a large trader whose hedging strategy affects the price of his assets.
The Malliavin Derivative and Application to Pricing and Hedging a European Exchange Option  [PDF]
Sure Mataramvura
Journal of Mathematical Finance (JMF) , 2012, DOI: 10.4236/jmf.2012.24031
Abstract: The exchange option was introduced by Margrabe in [1] and its price was explicitly computed therein, albeit with some small variations to the models considered here. After that important introduction of an option to exchange one commodity for another, a lot more work has been devoted to variations of exchange options with attention focusing mainly on pricing but not hedging. In this paper, we demonstrate the efficiency of the Malliavin derivative in computing both the price and hedging portfolio of an exchange option. For that to happen, we first give a preview of white noise analysis and theory of distributions.
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