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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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Cross‐Hedging of Exchange‐Rate Risk
Review of International Economics, 1996For 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
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Optimal Cross Hedging Winter Canola
2014Winter 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 +2 more
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Cross Hedging and Liquidity: a note [PDF]
, 2003 Cross hedging is a way to improve statistical hedge results because of markets'incompletion. In this framework, several markets instead of just one market, are used to increase the hedger’s financial possibilities. In the Anderson-Danthine model (1981), the optimal hedge in the multivariate case is described and commented, but transaction costs are ...
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Cross Hedging with Currency Forward Contracts
Journal of Futures Markets, 2012This study examines the behavior of a competitive exporting firm that exports to a foreign country and faces multiple sources of exchange rate uncertainty. Although there are no hedging instruments between the home and foreign currencies, there is a third country that has well‐developed currency forward markets to which the firm has access.
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Lower Partial Moment Cross-Hedges
2005While their use in direct hedges has been researched previously, little work exists on the application of lower partial moment hedge ratios to cross-hedges. Lower partial moment hedge ratios are used here to cross-hedge a variety of emerging market currencies with currency futures.
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A Cross-Sectional Machine Learning Approach for Hedge Fund Return Prediction and Selection
Management Science, 2021Wenbo Wu
exaly
Conditional feeder cattle hedge ratios: Cross hedging with fluctuating corn prices
Journal of Commodity Markets, 2022Justin Bina +2 more
exaly
Value-at-risk and the cross section of emerging market hedge fund returns
Global Finance Journal, 2022Sara Ali, Riza Demirer, Ihsan Badshah
exaly