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Multivariate Hedging

In: Convertible Bond Markets

Author

Listed:
  • George A. Philips

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.

Suggested Citation

  • George A. Philips, 1997. "Multivariate Hedging," Palgrave Macmillan Books, in: Convertible Bond Markets, chapter 8, pages 122-133, Palgrave Macmillan.
    • Handle: RePEc:pal:palchp:978-1-349-14385-6_8
    DOI: 10.1007/978-1-349-14385-6_8
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