Essays on optimal hedging and investment strategies and on derivative pricing

R.W.J. van den Goorbergh

Research output: ThesisDoctoral Thesis

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Abstract

This dissertation encompasses four essays on various topics within the field of finance. Chapter 1 presents an overview of the contributions of each essay. Chapter 2, titled Risk Aversion, Price Uncertainty, and Irreversible Investments, extends the theory of irreversible investment under uncertainty by allowing for risk averse instead of risk neutral investors in an incomplete markets setting. Chapter 3, titled Economic Hedging Portfolios, studies portfolios that investors hold to hedge economic risks. Using a model of state-dependent utility, it provides a generalization of the traditional mean-variance model. In Chapter 4, titled Multivariate Option Pricing Using Dynamic Copula Models, the price behavior of derivatives written on multiple underlying assets is examined. The association between the underlying assets is modeled using parametric families of copulas which offer various alternatives to the commonly assumed normal dependence structure. Chapter 5, titled An Anatomy of Futures Returns: Risk Premiums and Trading Strategies, provides an empirical analysis of trading strategies which capture the various risk premiums that have been distinguished in futures markets. Sorting strategies designed to exploit the information in the term structure of futures yields and past hedging pressure are found to yield expected returns that cannot be explained by equity, bond, and currency benchmarks.
Original languageEnglish
QualificationDoctor of Philosophy
Awarding Institution
  • Tilburg University
Supervisors/Advisors
  • de Roon, Frans, Promotor
  • Werker, Bas, Promotor
Award date19 May 2004
Place of PublicationTilburg
Publisher
Print ISBNs905668219X
Publication statusPublished - 2004

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    van den Goorbergh, R. W. J. (2004). Essays on optimal hedging and investment strategies and on derivative pricing. CentER, Center for Economic Research.