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X-WR-CALNAME:Mathematical Finance
X-ORIGINAL-URL:https://www.math.ttu.edu/mathematicalfinance
X-WR-CALDESC:Events for Mathematical Finance
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DTSTART:20240310T080000
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DTSTART:20241103T070000
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DTSTART;TZID=America/Chicago:20240920T120000
DTEND;TZID=America/Chicago:20240920T130000
DTSTAMP:20260414T144901
CREATED:20240430T213543Z
LAST-MODIFIED:20240508T155354Z
UID:1385-1726833600-1726837200@www.math.ttu.edu
SUMMARY:To hedge or not to hedge? Cryptocurrencies\, gold and oil against stock market risk
DESCRIPTION:Speaker: Prof. Agata Kliber\, Dept of Applied Mathematics\, Poznan University of Economics & Business\nco-Authors: Prof. Krzysztof Echaust\, Dept. of Operations Research & Mathematical Economics\, Poznan University of Economics & Business\nProf. Małgorzata Just\, Dept. of Finance & Accounting\, Poznan University of Life Sciences \nAbstract: The article aims to determine whether any hedging strategy against stock market risk\, performed using instruments popular in the literature (gold\, cryptocurrencies and oil)\, can beat index futures. As a hedging strategy\, we understand a pair-wise portfolio consisting of a long position in stocks and a short position in a hedging instrument put together to minimise the portfolio variance. As a benchmark\, we analyse optimal and naive hedging strategies with futures contracts. We demonstrate that\, regardless of the stock market\, the best hedging strategy focused on variance minimisation requires using index futures. Both strategies: the optimisation-based one and the naive one\, beat the dynamic strategies utilising the remaining hedging assets. Therefore\, from a risk-minimisation point of view\, investors have no motivation to implement cryptocurrencies\, gold or oil in hedging strategy against stock market risk. The results are robust with respect to hedging against tail risk.
URL:https://www.math.ttu.edu/mathematicalfinance/event/to-hedge-or-not-to-hedge-cryptocurrencies-gold-and-oil-against-stock-market-risk/
LOCATION:via Zoom
CATEGORIES:Fall 2024,Seminars
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2024/04/Kliber.jpg
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