Essays on optimal hedging and investment strategies and on derivative pricing

R.W.J. van den Goorbergh

Research output: ThesisDoctoral ThesisScientific

356 Downloads (Pure)

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

Fingerprint

Hedging
Investors
Trading strategies
Investment strategy
Assets
Risk premium
Derivative pricing
Hedging strategies
Irreversible investment
Benchmark
Finance
Dynamic copula
Equity
Derivatives
Dependence structure
Economic risk
Hedge
Currency
Copula
Futures markets

Cite this

van den Goorbergh, R. W. J. (2004). Essays on optimal hedging and investment strategies and on derivative pricing. Tilburg: CentER, Center for Economic Research.
van den Goorbergh, R.W.J.. / Essays on optimal hedging and investment strategies and on derivative pricing. Tilburg : CentER, Center for Economic Research, 2004. 121 p.
@phdthesis{4b4b16af8621463fbbfa0e2f1ebd1c04,
title = "Essays on optimal hedging and investment strategies and on derivative pricing",
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.",
author = "{van den Goorbergh}, R.W.J.",
year = "2004",
language = "English",
isbn = "905668219X",
series = "CentER Dissertation Series",
publisher = "CentER, Center for Economic Research",
school = "Tilburg University",

}

van den Goorbergh, RWJ 2004, 'Essays on optimal hedging and investment strategies and on derivative pricing', Doctor of Philosophy, Tilburg University, Tilburg.

Essays on optimal hedging and investment strategies and on derivative pricing. / van den Goorbergh, R.W.J.

Tilburg : CentER, Center for Economic Research, 2004. 121 p.

Research output: ThesisDoctoral ThesisScientific

TY - THES

T1 - Essays on optimal hedging and investment strategies and on derivative pricing

AU - van den Goorbergh, R.W.J.

PY - 2004

Y1 - 2004

N2 - 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.

AB - 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.

M3 - Doctoral Thesis

SN - 905668219X

T3 - CentER Dissertation Series

PB - CentER, Center for Economic Research

CY - Tilburg

ER -

van den Goorbergh RWJ. Essays on optimal hedging and investment strategies and on derivative pricing. Tilburg: CentER, Center for Economic Research, 2004. 121 p. (CentER Dissertation Series).