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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 ...
Andreza Barbosa, Carol Alexander
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Copernican Journal of Finance & Accounting, 2020 The present study examines hedging effectiveness of futures contracts in India by using variance reduction approach and risk-return approach by applying eight econometric models. It is observed that OLS hedge ratio generates highest hedging effectiveness
Mandeep Kaur, Kapil Gupta
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Financial Markets and Portfolio Management, 2023 AbstractGoal-based investing is concerned with reaching a monetary investment goal by a given finite deadline, which differs from mean-variance optimization in modern portfolio theory. In this article, we expand the close connection between goal-based investing and option hedging that was originally discovered in Browne (Adv Appl Probab 31(2):551–577 ...
Thomas Krabichler, Marcus Wunsch
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Pragmatics. Quarterly Publication of the International Pragmatics Association (IPrA), 2022 One of the canonical uses of jakby in Polish is that of the Lakoffian hedge, which modifies the propositional content of an utterance by pointing to its fuzziness, inexactitude or approximation. In conversational speech the word is frequently put to excessive use, which appears to significantly deviate from the prescribed one, and as such deserves ...
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European Option Pricing under Sub-Fractional Brownian Motion Regime in Discrete Time
Fractal and Fractional, 2023 In this paper, the approximate stationarity of the second-order moment increments of the sub-fractional Brownian motion is given. Based on this, the pricing model for European options under the sub-fractional Brownian regime in discrete time is ...
Zhidong Guo, Yang Liu, Linsong Dai
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PLoS ONE, 2023 This study utilizes the hedging potential of the U.S. Dollar Index (USDX) during the COVID-19 period, specifically comparing its positive effects on optimal portfolio weights and hedging ratios with those of traditional hedging assets, such as the VIX ...
Seok-Jun Yun +2 more
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Finance and Stochastics, 1999 The paper deals with construction of a hedging strategy which maximizes the probability of a successful hedge under the objective measure \(P\), given a constraint on the required cost. This concept of quantile hedging can be considered as a dynamic version of the well-known value at risk concept. First the authors consider the general case of complete
Hans FÃllmer, Peter Leukert
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SSRN Electronic Journal, 2017 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Nicole Branger +2 more
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Contribution of Exchange Traded Funds in Hedging Crude Oil Price Risk
American Business Review, 2023 In this study, we empirically analyze the contributions of three crude oil-based exchange traded funds (ETFs) and the futures contract in hedging crude oil price risk.
Keshab Shrestha +2 more
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HortScience, 2023 Recently, some commercial apple growers have been adopting hedging as an alternative or supplement to hand-pruning. With increasing labor costs across the United States, alternatives to hand-pruning and current training systems are being considered.
Thiago Campbell +2 more
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