Results 11 to 20 of about 37,486 (312)
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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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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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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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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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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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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Using Neural Networks to Price and Hedge Variable Annuity Guarantees
Risks, 2018 This paper explores the use of neural networks to reduce the computational cost of pricing and hedging variable annuity guarantees. Pricing these guarantees can take a considerable amount of time because of the large number of Monte Carlo simulations ...
Daniel Doyle, Chris Groendyke
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Relaxing the Assumptions of Minimum-Variance Hedging
Journal of Agricultural and Resource Economics, 1996 The most important minimum-variance hedging ration assumptions are (a) that production is deterministic and (b) that all of the agent's wealth is invested in the cash position. Stochastic production greatly reduces optimal hedge ratios.
Sergio H. Lence
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