Date of Award

8-2020

Degree Type

Creative Project

Degree Name

Master of Science (MS)

Department

Economics and Finance

Committee Chair(s)

Tyler Brough

Committee

Tyler Brough

Committee

Benjamin Blau

Committee

Pedram Jahangiry

Abstract

There has been significant debate surrounding Metallgesellschaft's derivatives based fixed-price marketing strategy. Most of this debate relates to Metallgesellschaft's choice to use a one-for-one hedge ratio instead of an alternative hedge ratio optimized for risk management. I contribute to this discussion by reexamining the hedging strategy of Metallgesellschaft and use the Test for Superior Predictive Ability to determine whether any hedge ratio less than one outperforms the one-for-one hedge utilized by Metallgesellschaft.

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