The Financial Portfolio Hedging Strategies Applications and Verifications in International Financial Markets

Haochen Guo

Disertační práce

Anotace:

...............

Abstract:

The Financial Portfolio Hedging Strategies Applications and Verifications in International Financial Markets The objective of hedging consists of taking positions that lower the risk profile of the portfolio. Buying financial derivatives and instruments as a hedge is one kind of hedging, it is long position, and in other words it is a position held in derivatives such that a rise in the market increases the value of the position. Otherwise, in short hedging position, something is sold to cover a risk. The doctoral dissertation presents the applications and verifications of financial portfolio hedging strategies in international financial markets. The methods of minimum variance partial hedging strategy, minimal Value at Risk hedging strategy, Delta-Gamma hedging strategy and Beta hedging strategy are applied on domestic and international financial portfolio in international financial markets (China, US and European financial markets). It was verified that hedging strategies investigated should be successfully applied in international financial markets and decrease or reduce the financial risk of financial institutions.

Klíčová slova

....................

Keywords

Hedging Strategy, International Financial Markets, Financial Derivatives and Instruments, Minimum Variance Partial Hedging strategy, Minimal Value at Risk hedging strategy, the Greek Letters, Delta-Gamma Hedging strategy, Beta Hedging strategy (systematic risk)

Jazyk práce: angličtina

Datum vytvoření / odevzdání či podání práce: 20. 5. 2014

Obhajoba závěrečné práce

• Obhajoba proběhla 23. 6. 2014
• Vedoucí: Zdeněk Zmeškal

VŠB - Technická univerzita Ostrava

Ekonomická fakulta

Doktorský studijní program / obor:
Hospodářská politika a správa / Finance