Multivariate Hedging

George A. Philips

Chapter 8 in Convertible Bond Markets, 1997, pp 122-133 from Palgrave Macmillan

Abstract: Abstract In Chapter 7, we considered the establishment of a market neutral hedge strategy using a long convertible bond position versus the short sale of the same underlying equity. This is the most common type of hedge or long volatility position and may be thought of as univariate. In contrast, this chapter introduces multivariate hedging, an area of study which has received very little written attention, but has been utilised particularly by ‘larger’ investors eager to overcome certain difficulties or disadvantages of conventional hedging. Understandably, this type of hedging has been eschewed by many investors, particularly by smaller funds or by larger funds not prepared to take on the more uncertain return profile.

Keywords: Tracking Error; Hedge Fund; Stock Index; Strike Price; Index Option (search for similar items in EconPapers)
Date: 1997
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DOI: 10.1007/978-1-349-14385-6_8

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