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The Semivariance-Minimizing Hedge Ratio
Journal of Agricultural and Resource Economics, 2003 This study presents a new approach to the optimal hedging decision. In some empirical studies, the standard hedge using the mean-variance hedge ratio provides results which are inconsistent with downside risk management.
Calum G. Turvey, Govindaray Nayak
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Impacts of El Niño southern oscillation on hedge strategies for Brazilian corn and soybean futures contracts [PDF]
Revista de Economia e Sociologia Rural, 2022 : Climate influences the variations in soybean and corn prices; thus, we assessed the relationship between the El Niño Southern Oscillation (ENSO) with soybean-to-corn price ratio to determine potential impacts on price risk management.
George Lucas Máximo Ferreira +2 more
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On the stationarity of futures hedge ratios [PDF]
Operational Research, 2020 Stationarity of hedge ratios can be viewed as a frst step for portfolio hedging since it represents that the sensitivity of spot and Future returns follow a process whose main characteristics do not depend on time. However, we provide evidence that the hedge ratios of the main European stock indices are better described as a combination ...
Stavros Degiannakis +3 more
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Hedging Risk For Feeder Cattle With A Traditional Hedge Compared To A Ratio Hedge [PDF]
Journal of Agricultural and Applied Economics, 1990 Abstract This paper compares hedging risk for various weights of feeder cattle hedged with a traditional cross hedge and a ratio cross hedge. A traditional hedge calls for the purchase/sale of one pound of futures for each pound of cash feeder cattle. By contrast, a ratio hedge requires estimation of a hedge ratio to determine the number of pounds of ...
Elam, Emmett W., Davis, James
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Hedging performance of multiscale hedge ratios [PDF]
Journal of Futures Markets, 2019 AbstractIn this study, the wavelet multiscale model is applied to selected assets to hedge time‐dependent exposure of an agent with a preference for a certain hedging horizon. Based on the in‐sample and out‐of‐sample portfolio variances, the wavelet‐based generalized autoregressive conditional heteroskedasticity (GARCH) model produces the lowest ...
Jahangir Sultan +3 more
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Effective Basemetal Hedging: The Optimal Hedge Ratio and Hedging Horizon [PDF]
Journal of Risk and Financial Management, 2008 This study investigates optimal hedge ratios in all base metal markets. Using recent hedging computation techniques, we find that 1) the short-run optimal hedging ratio is increasing in hedging horizon, 2) that the long-term horizon limit to the optimal hedging ratio is not converging to one but is slightly higher for most of these markets, and 3) that
Dewally, Michael, Marriott, Luke
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Futures hedge ratios: a review [PDF]
The Quarterly Review of Economics and Finance, 2003 Abstract This paper presents a review of different theoretical approaches to the optimal futures hedge ratios. These approaches are based on minimum variance, mean-variance, expected utility, mean extended-Gini coefficient, as well as semivariance. Various ways of estimating these hedge ratios are also discussed, ranging from simple ordinary least ...
Chen, Sheng-Syan +2 more
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ASEAN-5 and Crypto Hedge Fund: Dynamic Portfolio Approach
SAGE Open, 2022 This study aims to compose a portfolio consisting crypto hedge fund and ASEAN-5 stock market and to examine the hedging effect of crypto hedge fund against those stock markets.
Andreas Renard Widarto +3 more
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Optimal Hedge Ratio of Bahar Azadi Coin Futures: Application of Markov Regime Switching Models [PDF]
مدلسازی اقتصادسنجی, 2018 According to the importance of the hedging of gold coin market fluctuations, the purpose of this study is to estimate the minimize variance of optimal hedge ratios for Bahar Azadi coin futures contracts from period of 2013/12/17 to 2017/06/01 using ...
Mozhgan Maleki, Meysam Rafei
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Cogent Economics & Finance, 2022 China is considered the largest emerging economy and thus investors perceived as an attractive investment. We examine the spillover effect from Chinese stock exchange to stock exchanges of Asia and Latin America, namely, India, Indonesia, Mexico, and ...
Miklesh Prasad Yadav +3 more
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