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Short Term Hedge Position Optimizer 1.0

  Date Added: August 08, 2013  |  Visits: 230

Short Term Hedge Position Optimizer

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Classical optimal hedge ratio concentrates on risk reduction and neglects strategic value maximization. In this study, the authors use stochastic-optimization theories to formulate an optimal, short-term hedging scheme to mitigate risks while maximizing portfolio value. Stochastic spot and futures price models are used to simulate prices. The periodic optimal hedge ratios are determined using the stochastic-optimization algorithm. The algorithm is implemented in a Hedge-Position-Optimizer (HPO) program. The models were published in the International Journal of Risk Assessment and Management. Reference: Frimpong, Samuel, Awuah-Offei, Kwame and Dogbe, George (2007), "Optimum Short-Term Futures Hedge Using Stochastic Linear Programming", International Journal of Risk Assessment and Management, Vol. 7(5), Inderscience Publishers, pp. 639 - 655.

Requirements: No special requirements
Platforms: Matlab
Keyword: Algorithm Assessment Determined Frimpong Hedge Hedgepositionoptimizer Implemented International Journal Linear Management Program Programmingquot Published Publishers Ratios Reference Samuel
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License: Freeware Size: 430.08 KB
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