03116ntm a22004937a 4500 000258744 CZ-PrVSE 20140606203937.0 m d cr n|||||||||| 140606s2014 xr fsbm 000 0 eng d NEZPRACOVANÝ IMPORT ABA006 cze ABA006 ABA006 Máková, Barbora ISIS:102758 dis Odhad zajišťovacího poměru (Hedge Ratio) v řízení zásob eng Hedge Ratio Estimation in Inventory Management [elektronický zdroj] / Barbora Máková 2014 ?? s. : digital, PDF soubor Vedoucí práce: Michal Černý Diplomová práce (Ing.)—Vysoká škola ekonomická v Praze. Fakulta informatiky a statistiky, 2014 Obsahuje bibliografii Textový (vysokoškolská kvalifikační práce) Rok obhajoby 2014 Companies dependent on commodities for their production have to deal with volatile commodity prices and should employ measures for risk reduction as unfavourable spot price development may cause significant losses. A useful tool for diminishing the risk is hedging on futures market; however, this approach faces a crucial question of optimal hedge ratio determination (ratio between spot and futures units). Our thesis examines nine different ways of optimal hedge ratio estimation (naive, Sharpe, mean extended Gini coefficient, generalized semivariance, value at risk, and minimum variance through OLS, error correction, GARCH, and bivariate GARCH models) and evaluates their efficiency using the data on eight different commodities. The results differ across the respective commodities and cannot be generalized. Two conclusions resulting from the analysis refer to performance of naive and OLS hedge ratios and constant vs time varying hedge ratios. We find that complex hedge ratios, such as bivariate GARCH or VaR hedge ratios, do not outperform naive and OLS hedge ratios and that the results of constant hedge ratios are mostly as good as results of time-varying hedge ratios. Způsob přístupu: Internet ekonometrie a operační výzkum [obor dipl. práce] diplomové práce fd132022 czenas master's theses eczenas commodities efficiency optimal hedge ratio Černý, Michal mzk2005275013 ths Cahlík, Tomáš, 1956- jn20010310039 opn Vysoká škola ekonomická v Praze. Fakulta informatiky a statistiky kn20010709399 https://isis.vse.cz/zp/45804/podrobnosti VŠKP v InSIS https://isis.vse.cz/zp/45804 Hlavní práce https://isis.vse.cz/zp/45804/posudek/vedouci Hodnocení vedoucího https://isis.vse.cz/zp/45804/posudek/oponent/37564 Oponentura http://isis.vse.cz/zp/138297/podrobnosti dc:identifier NEPOSILAT VSKP 138297 vse45804 140606