Article
Multiple Hedging on Energy Market
The article is devoted to the calculation of the dynamic hedge ratio based on three different types of volatility models, among which S-BEKK GARCH model takes into account cross-sectional dependence. The hedging strategy is built for eight stock-futures pairs on energy market in Russia.
This paper studies the problem of calculation the dynamic hedge ratio for the portfolio consisted of two assets. Commonly it’s solved assuming that the investor’s risk aversion is infinite. Then the optimal hedge coefficient is equal to ratio of covariance of the hedged and hedging assets to the variance of the latter. It’s natural to assume that the optimal hedge ratio also dependы on the investor’s attitude to risk. In this paper this fact is implemented via maximization of the investor’s expected utility, which depend on the portfolio return and variance. Consequently if, for example, prices move upwards, the optimal hedge ratio is less than under the assumption of absolute risk aversion and vice versa. In the paper eight portfolios, consisted of Russian blue-chip stocks and futures, are estimated. Multivariate volatility models GO-GARCH and cop-GARCH are applied to estimate the conditional covariances and variances of hedged portfolio returns. There are additional parameters in the error term distribution, including skewness parameter, due to the existence of asymmetry effects in the financial assets returns’ distribution [Kroner, Ng, 1998]. The hedge effectiveness is estimated on the out-of-sample period using the maximum attainable risk reduction, unconditional variance of hedged portfolio returns and financial result. It’s shown that in six cases cop-GARCH surpasses GO-GARCH in hedge. Including the degree of risk aversion in the investor’s utility function together with above-mentioned volatility models allows to increase hedge effectiveness up to 65% for some assets
The article is devoted to the estimation of multivariate volatility of a portfolio consisted from twenty American stocks. The six specifications of multivariate volatility models are formulated and estimated. It’s demonstrated that spatial specifications of multivariate volatility models allow not only reduce the dimension of the problem, but in some cases outdo original specifications at in-sample and out-of-sample comparison.
Smoking is a problem, bringing signifi cant social and economic costs to Russiansociety. However, ratifi cation of the World health organization Framework conventionon tobacco control makes it possible to improve Russian legislation accordingto the international standards. So, I describe some measures that should be taken bythe Russian authorities in the nearest future, and I examine their effi ciency. By studyingthe international evidence I analyze the impact of the smoke-free areas, advertisementand sponsorship bans, tax increases, etc. on the prevalence of smoking, cigaretteconsumption and some other indicators. I also investigate the obstacles confrontingthe Russian authorities when they introduce new policy measures and the public attitudetowards these measures. I conclude that there is a number of easy-to-implementanti-smoking activities that need no fi nancial resources but only a political will.
One of the most important indicators of company's success is the increase of its value. The article investigates traditional methods of company's value assessment and the evidence that the application of these methods is incorrect in the new stage of economy. So it is necessary to create a new method of valuation based on the new main sources of company's success that is its intellectual capital.