Results 11 to 20 of about 50,517 (308)
Cross hedging under multiplicative basis risk [PDF]
, 2011 Cross hedging price risk in an incomplete financial market creates basis risk. We propose a new way of modeling basis risk where price risk and basis risk are combined in a multiplicative way.
Adam-Müller, Axel, Nolte, Ingmar
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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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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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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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Hedge Connectivity without Hedge Overlaps
CoRR, 2020 Connectivity is a central notion of graph theory and plays an important role in graph algorithm design and applications. With emerging new applications in networks, a new type of graph connectivity problem has been getting more attention--hedge connectivity.
Rupei Xu, Warren Shull
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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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Effect of reservoir zones and hedging factor dynamism on reservoir adaptive capacity for climate change impacts [PDF]
Proceedings of the International Association of Hydrological Sciences, 2018 When based on the zones of available water in storage, hedging has traditionally used a single hedged zone and a constant rationing ratio for constraining supply during droughts.
A. J. Adeloye, B.-S. Soundharajan
doaj +1 more source
The effect of hedging exchange rate risk, interest rate risk and commodity price risk with derivative instruments on firm value [PDF]
Management Science Letters, 2021 The purpose of this paper is to analyze the effects of firm value on hedging for exchange rates, interest rates and commodity price risks using derivative instruments as well as examining different types of derivative instruments, including forward ...
Almas, Nadhifah +3 more
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Lindung Nilai (Hedging) Perspektif Islam: Komparasi Indonesia dan Malaysia
Inferensi Jurnal Penelitian Sosial Keagamaan, 2018 Islamic Hedging is one of the instruments in financial management that is used to reduce the risks associated with price and currency movements. But in a conventional perspective, hedging involves the use of controversial derivative instruments in ...
Suryani Suryani, Muhammad Anwar Fathoni
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Jurnal Manajemen & Agribisnis, 2017 Hedging strategies in the commodity futures market is strongly influenced by the estimation method of hedge ratio. This study examines the effectiveness of hedging strategy against cash position in Indonesia’s palm oil spot market using three hedge ratio
Buddi Wibowo
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