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Better Cross Hedges With Composite Hedging? Hedging Equity Portfolios Using Financial and Commodity Futures [PDF]
SSRN Electronic Journal, 2007 Unless a direct hedge is available, cross hedging must be used. In such circumstances portfolio theory implies that a composite hedge (the use of two or more hedging instruments to hedge a single spot position) will be beneficial. Surprisingly, the study and use of composite hedging has been neglected; possibly because it requires the estimation of two
Fei Chen, Charles Sutcliffe
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Cross and Delta-Hedges: Regression versus Price-Based Hedge Ratios
SSRN Electronic Journal, 1999In implementing a variance-minimizing cross or delta hedge, the regression coefficient is often estimated using data from the past, but one could also use estimators that are suggested by the random-walk or unbiased-expectations models and require just a single price.
Piet Sercu, Xueping Wu
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Biodiesel Cross-Hedging Opportunities
2020We 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. +5 more
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A Comparison of Alternative Approaches to Hedging and Cross-Hedging
1988Performance of the U.S.
Fryar, Edward O. +5 more
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Cross‐Hedging: Basis Risk and Choice of the Optimal Hedging Vehicle
Financial Review, 1991AbstractThe basis between a futures contract and its underlying instrument is an important measure of the cost of using the futures contract to hedge. In a cross‐hedge, the relative size of the basis of alternative hedging vehicles often plays a decisive role in the selection of the optimal hedging vehicle.
Mark G. Castelino +2 more
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Systemic risk and cross-sectional hedge fund returns
Journal of Empirical Finance, 2017 This paper examines the cross-sectional relation between hedge fund returns and systemic risk. Measuring the systemic risk of an individual hedge fund by using the marginal expected shortfall (MES), we find evidence for a positive and statistically ...
Francis In, Tong Suk Kim
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Cross-hedging foreign currency risk
Journal of International Money and Finance, 1987Abstract 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
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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
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Cross-Hedging of Inflation Derivatives on Commodities
The Journal of Alternative Investments, 20151. 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
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