Multi-objective hedging model with the third central moment and the capital budget

The third central moment and the capital budget are two important factors in designing the optimal hedge strategy. This paper investigates the problem of futures hedging under the third central moment and the capital budget. Based on the multi-objective programming, a multi-objective hedging model w...

Celý popis

Uložené v:
Podrobná bibliografia
Vydané v:Economic modelling Ročník 36; s. 213 - 219
Hlavný autor: Fu, Junhui
Médium: Journal Article
Jazyk:English
Vydavateľské údaje: Amsterdam Elsevier B.V 01.01.2014
Elsevier Science Ltd
Predmet:
Budgeting
Capital budget
Capital budgeting
Decision making models
Economic models
Futures hedging
Hedges
Hedging
Investment policy
Mathematical problems
Mathematical programming
Multi-objective programming
Objectives
Programming
Studies
The third central moment
Capital budget
Futures hedging
Multi-objective programming
The third central moment
ISSN:0264-9993, 1873-6122
On-line prístup:Získať plný text
Tagy: Pridať tag
Žiadne tagy, Buďte prvý, kto otaguje tento záznam!
Popis
Shrnutí:The third central moment and the capital budget are two important factors in designing the optimal hedge strategy. This paper investigates the problem of futures hedging under the third central moment and the capital budget. Based on the multi-objective programming, a multi-objective hedging model with two important factors is proposed to manage this problem. Using the method of weighted sums, the multi-objective hedging model can be equivalently transformed into an ordinary single-objective programming. By solving the single-objective programming, we derive the optimal hedge ratio under the third central moment and the capital budget. Finally, an empirical example of hedging copper is given to illustrate the application of the proposed model. The results also show clearly the influence of the third central moment and the capital budget in the hedging decision. •We propose a multi-objective hedging model with the third central moment and the capital budget.•The method of weighted sums is employed to solve the multi-objective hedging model.•We derive the optimal hedge ratio of the multi-objective hedging model.•The empirical study shows clearly the influence of the third central moment and the capital budget in the hedging decision.
Bibliografia:SourceType-Scholarly Journals-1
ObjectType-Feature-1
content type line 14
ObjectType-Article-2
content type line 23
ISSN:0264-9993
1873-6122
DOI:10.1016/j.econmod.2013.09.048