Results 121 to 130 of about 1,364,189 (179)

Basis Risk and Inflation Replication

SSRN Electronic Journal, 2013
We study inflation replication in European markets and find that investors can improve their inflation hedge by acquiring foreign inflation-linked derivatives on the international market. Although European inflation-linked bonds holdings have a substantial impact on the inflation hedging ability, their weight in the hedging portfolio is declining over ...
Alexander de Roode, Ronald Mahieu
openaire   +2 more sources

BASIS RISK FOR RICE

1998
The objective of this paper is to develop a cross hedging model for rice that minimizes basis risk and accounts for the existence of the nonstationary nature of basis. Basis is treated as an endogenous variable and model for basis risk are developed.
Lord, Yoshie Saito   +3 more
openaire   +3 more sources

Basis Risk in Variable Annuities

SSRN Electronic Journal, 2020
Variable annuities (VAs) are highly popular personal savings and investment products with long-term financial guarantees. The hedging of these guarantees is crucial for VA providers, but is complicated by basis risk, i.e. the discrepancy in returns between the underlying mutual fund and suitable hedging instruments.
Wenchu Li   +2 more
openaire   +1 more source

Basis Risk in Variable Annuities

2023
This dissertation provides a comprehensive and practical analysis of basis risk in the U.S. variable annuity market and examines effective fund mapping strategies to mitigate the level of basis risk while controlling for the associated transaction costs.
openaire   +1 more source

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