Date of Award
Master of Science (MS)
Economics and Finance
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.
Haddock, Christopher, "Reexamining Metallgesellschaft’s Hedging Policy: Does Anything Beat a One-For-One Hedge Ratio?" (2020). All Graduate Plan B and other Reports. 1465.