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On fund mapping regressions applied to segregated funds hedging under regime-switching dynamics

Trottier, Denis-Alexandre; Godin, Frédéric; Hamel, … - In: Risks : open access journal 6 (2018) 3, pp. 1-15

Insurers issuing segregated fund policies apply dynamic hedging to mitigate risks related to guarantees embedded in … the imperfect correlation between the underlying fund and its corresponding hedging instruments. The current work … discusses the implications of using fund mapping regressions when the joint dynamics of the underlying and hedging assets is a …

Persistent link: https://www.econbiz.de/10011890772

On Fund Mapping Regressions Applied to Segregated Funds Hedging Schemes under Regime-Switching Dynamics

Trottier, Denis-Alexandre - 2018

Persistent link: https://www.econbiz.de/10012922821

A new range-based regime-switching dynamic conditional correlation model for minimum-variance hedging

Su, Yi Kai; Wu, Chun-chou - In: Journal of mathematical finance 4 (2014) 3, pp. 207-219

Persistent link: https://www.econbiz.de/10010400103

Optimal hedging when the underlying asset follows a regime-switching Markov process

François, Pascal; Gauthier, Geneviève; Godin, Frédéric - In: European journal of operational research : EJOR 237 (2014) 1, pp. 312-322

Persistent link: https://www.econbiz.de/10010378599

Cone-constrained continuous-time Markowitz problems

Czichowsky, Christoph; Schweizer, Martin - 2012 - This version: June 4, 2012

in the unconstrained case. Markowitz problem ; cone constraints ; portfolio selection ; mean-variance ; hedging …

Persistent link: https://www.econbiz.de/10009558292

On the choice between two delta-hedging strategies

Hong, Liang - In: Decisions in economics and finance : DEF ; a journal of … 39 (2016) 1, pp. 69-80

Persistent link: https://www.econbiz.de/10011451654

Risk minimization for insurance products via F-doubly stochastic Markov chains

Biagini, Francesca; Groll, Andreas; Widenmann, Jan … - In: Risks : open access journal 4 (2016) 3, pp. 1-26

We study risk-minimization for a large class of insurance contracts. Given that the individual progress in time of visiting an insurance policy's states follows an F-doubly stochastic Markov chain, we describe different state-dependent types of insurance benefits. These cover single payments at...

Persistent link: https://www.econbiz.de/10011507634

Portfolio optimization in hedge funds by OGARCH and Markov switching model

Luo, Cuicui; Seco, Luis; Wu, Lin-Liang Bill - In: Omega : the international journal of management science 57 (2015), pp. 34-39

Persistent link: https://www.econbiz.de/10011416043

Cross hedging stock sector risk with index futures by considering the global equity systematic risk

Hsu, Wen Chung; Lee, Hsiang-Tai - In: International Journal of Financial Studies : open … 6 (2018) 2, pp. 1-17

nonelectronics subindex (NFNE) futures for cross hedging the price risk of stock sector indices traded on the Taiwan stock exchange …. A state-dependent volatility spillover GARCH hedging strategy is developed to capture the regime switching global equity … hedging stock sector exposures compared with the TAIEX and Taiwan 50 futures. Simultaneous hedge using both NFNE and MSCI …

Persistent link: https://www.econbiz.de/10011883272

Optimal quantile hedging under Markov regime switching

Lien, Da-hsiang Donald; Wang, Ziling; Yu, Xiaojian - In: Empirical economics : a quarterly journal of the … 60 (2021) 5, pp. 2177-2201

Persistent link: https://www.econbiz.de/10012585550