Results 161 to 170 of about 3,858,948 (202)

Biodiesel Cross-Hedging Opportunities

2020
We apply an encompassing framework to assess the viability of hedging spot biodiesel price risk for four U.S. markets with a conventionally used heating oil futures contract and a soybean oil futures contract based on the logic that supply shifts (i.e., price of soybean oil as an input) drive biodiesel prices when binding blending mandates are in place.
Franken, Jason R.V., Irwin, Scott H., Garcia, Phil, Franken, Jason R.V., Irwin, Scott H., Garcia, Phil   +5 more
openaire   +1 more source

CROSS-HEDGING COTTONSEED MEAL

2000
This study examines the feasibility of cross-hedging cottonseed meal with soybean meal futures. A simple linear regression of cottonseed meal cash prices on soybean meal futures provides a direct price movement relationship. Using the estimated hedge ratios, the net realized prices are calculated for seven different cash markets.
Rahman, Shaikh Mahfuzur, Turner, Steven C., Costa, Ecio De Farias, Rahman, Shaikh Mahfuzur, Turner, Steven C., Costa, Ecio De Farias   +5 more
openaire   +5 more sources

Cross-hedging foreign currency risk

Journal of International Money and Finance, 1987
Abstract This paper provides empirical evidence on the effectiveness of cross-hedging to reduce foreign exchange risk. Simple cross-hedges for currencies with and without futures contracts, multiple cross-hedges, portfolio hedges, and commodity cross-hedges are examined.
Mark R Eaker, Dwight M Grant
openaire   +1 more source

Cross-Hedging of Inflation Derivatives on Commodities

The Journal of Alternative Investments, 2015
1. Nicolas Fulli-Lemaire 1. Nicolas Fulli-Lemaire is a research analyst at Amundi Asset Management and at the University of Paris II in Paris, France. (nicolas.fulli-lemaire{at}hotmail.com) 2. Ernesto Palidda 1. Ernesto Palidda is a VP at an Investment Bank in London. (ernesto.palidda{
Fulli-Lemaire, Nicolas, Palidda, Ernesto
openaire   +2 more sources

Hedging and Cross-hedging ETFs [PDF]

, 2007
This paper presents an empirical study of hedging the four largest US index exchange traded funds (ETFs). When hedging each ETF position with its own index futures we find that it is difficult to improve on the naïve 1:1 futures hedge, that hedging is less effective around the time of dividend payments, and that hedged portfolio returns tend to have ...
Carol Alexander, Andreza Barbosa
openaire  

Cross‐Hedging of Exchange‐Rate Risk

Review of International Economics, 1996
For currencies with highly developed forward markets a well‐known separation theorem holds which implies that international firms fully hedge the exchange rate risk if the forward markets are unbiased. In this paper we present a model of a risk‐averse firm when perfect hedging instruments are not available. Instead the firm can cross‐hedge the exchange‐
Udo Broll, Bernhard Eckwert
openaire   +1 more source

Multiple currencies and cross hedging [PDF]

, 1995
The paper derives optimal cross hedging and production rules for an exporting firm which faces multiple exchange rate risks. We study the impact of currency cross hedging upon the firm's export production for two countries. We demonstrate that when the forward market for cross hedging is unbiased there is a full hedge.
Broll, Udo, Zilcha, Itzhak
openaire   +1 more source

Optimal Cross Hedging Winter Canola

2014
Winter canola in the southern Great Plains has shown large price fluctuations and there have been questions about which futures market could be used to reduce price risk. Our results indicate that the optimal futures contract to cross hedge winter canola is soybean oil futures.
Kim, Seon-Woong, Brorsen, B. Wade, Yoon, Byung-Sam   +2 more
openaire   +3 more sources

An Alternative View on Cross Hedging

2003
Risk management in incomplete financial markets has to rely on cross hedging which creates basis risk. This paper focuses on cross hedging price risk with futures contracts in an expected utility model. So far, basis risk has been additively related to either the spot price or the futures price.
openaire   +1 more source

Cross-Hedging Minimum Return Guarantees: Basis and Liquidity Risk

SSRN Electronic Journal, 2012
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Ankirchner, Stefan, Schneider, Judith C., Schweizer, Nikolaus   +2 more
openaire   +2 more sources