Results 11 to 20 of about 145,082 (300)
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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, 1999 For a Cournot duopoly with a foreign firm exporting to the home firm's market hedging against unfavorable shifts in the stochastic spot exchange rate is analyzed. In a two-stage setting with product market and hedging decisions we show that hedging can be used as a strategic device.
Udo Broll, Peter Welzel, Kit Pong Wong
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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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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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Quantile Hedging in a Semi-Static Market with Model Uncertainty [PDF]
, 2017 With model uncertainty characterized by a convex, possibly non-dominated set of probability measures, the agent minimizes the cost of hedging a path dependent contingent claim with given expected success ratio, in a discrete-time, semi-static market of ...
Bayraktar, Erhan, Wang, Gu
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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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Hedging strategies and minimal variance portfolios for European and exotic options in a Levy market [PDF]
, 2008 This paper presents hedging strategies for European and exotic options in a Levy market. By applying Taylor's Theorem, dynamic hedging portfolios are con- structed under different market assumptions, such as the existence of power jump assets or moment ...
Olhede, Sofia +2 more
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Quantitative Finance, 2018 We present a framework for hedging a portfolio of derivatives in the presence of market frictions such as transaction costs, market impact, liquidity constraints or risk limits using modern deep reinforcement machine learning methods. We discuss how standard reinforcement learning methods can be applied to non-linear reward structures, i.e. in our case
Buehler, H. +3 more
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