Measurements of Risk for Hedging with Short-Term Futures
Professor Zhijian WuDepartment of Math., University of Alabama 下午 3:00–4:00 S4 208 數學與理論物理中心Hedging long term commitments with short-dated futures contracts has been a hot topic in the finance industry. A new measurement called $\mu$-total risk was introduced. Two main theorems are established for the relationship between the optimal hedging strategies and projected funding situation.