Optimal Hedging Strategy of Asset Returns on Target In Finance Logistics using the Law of Iterated Logarithm (LIL) Measure

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Bright O. Osu.
Bright O. Osu.
2
Jonathan O. Egemba
Jonathan O. Egemba
3
Philip U. Uzoma
Philip U. Uzoma
1 Abia State University

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The world of finance works better through logistics and there are more to a risk measurement and hedging than being coherent. Thus, several predictable assumptions hast been made in other to make risk calculation and hedging tractable which both Value-at-risk (VaR) and Conditional tail expectation (CTE or CVAR) ignore useful information on target . The question is can the classical law of iterated logarithm(LIL)be centralized for risky and contingent hedging capacities? Here we find the imposition of the law of iterated logarithm (LIL) constraint unique and complete, hence continuous for the QUEST as it utilizes information in the whole distribution, curbs rate of returns on target, provides incentives for risk management and raises challenges of performances and cost.

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No external funding was declared for this work.

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The authors declare no conflict of interest.

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No ethics committee approval was required for this article type.

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Bright O. Osu.. 2014. \u201cOptimal Hedging Strategy of Asset Returns on Target In Finance Logistics using the Law of Iterated Logarithm (LIL) Measure\u201d. Global Journal of Science Frontier Research - F: Mathematics & Decision GJSFR-F Volume 14 (GJSFR Volume 14 Issue F1): .

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GJSFR Volume 14 Issue F1
Pg. 23- 31
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Crossref Journal DOI 10.17406/GJSFR

Print ISSN 0975-5896

e-ISSN 2249-4626

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May 3, 2014

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English

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The world of finance works better through logistics and there are more to a risk measurement and hedging than being coherent. Thus, several predictable assumptions hast been made in other to make risk calculation and hedging tractable which both Value-at-risk (VaR) and Conditional tail expectation (CTE or CVAR) ignore useful information on target . The question is can the classical law of iterated logarithm(LIL)be centralized for risky and contingent hedging capacities? Here we find the imposition of the law of iterated logarithm (LIL) constraint unique and complete, hence continuous for the QUEST as it utilizes information in the whole distribution, curbs rate of returns on target, provides incentives for risk management and raises challenges of performances and cost.

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Optimal Hedging Strategy of Asset Returns on Target In Finance Logistics using the Law of Iterated Logarithm (LIL) Measure

Bright O. Osu.
Bright O. Osu. Abia State University
Jonathan O. Egemba
Jonathan O. Egemba
Philip U. Uzoma
Philip U. Uzoma

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