Quadratic Hedging of Basis Risk [PDF]
This paper examines a simple basis risk model based on correlated geometric Brownian motions. We apply quadratic criteria to minimize basis risk and hedge in an optimal manner. Initially, we derive the Follmer-Schweizer decomposition of a European claim.
Hardy Hulley, T. A. McWalter
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Assessing the influence of spot price predictability on electricity futures hedging [PDF]
A common feature of energy prices is that spot price changes are partially predictable due to weather and demand seasonalities. This paper follows the Ederington and Salas (2008) framework and considers the expected change in spot prices when minimum ...
Torro, Hipolit
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The quantile domain volatility shock transmission between carbon emission trading system and European emerging stock markets: Practical implications for portfolio optimization. [PDF]
PLoS OneAljughaiman AA +3 more
europepmc +1 more source
Both market advisors and researchers have often suggested rollover hedging as a way of increasing producer returns. This study tests whether rollover hedging can increase expected returns for producers.
Yoon, Byung-Sam, Brorsen, B. Wade
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Navigating uncertainty matters: Evaluating large language models for drug-drug interaction identification. [PDF]
J Manag Care Spec PharmTilley A +6 more
europepmc +1 more source
EVALUATING THE HEDGING POTENTIAL OF THE LEAN HOG FUTURES CONTRACT [PDF]
The lean hog futures contract is replacing the live hog futures contract at the Chicago Mercantile Exchange beginning with the February 1997 contract.
Ditsch, Mark W., Leuthold, Raymond M.
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Hedging, ambiguity, and the rejection of misinformation: evidence from Chinese readers. [PDF]
Front PsycholLi R, Fu C.
europepmc +1 more source
Cross Hedging with Single Stock Futures [PDF]
This study evaluates the efficiency of cross hedging with the new single stock futures (SSF) contracts recently introduced in the United States. We use matched sample estimation techniques to select SSF contracts that will reduce the basis risk of ...
Sang Soo Kim +2 more
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The coupling process of awareness and disease under the influence of synergistic-hedging effect of information resources. [PDF]
Infect Dis ModelHuo L, Zhao J.
europepmc +1 more source
CROSS-HEDGING COTTONSEED MEAL [PDF]
This study examines the feasibility of cross-hedging cottonseed meal with soybean meal futures. The simple linear regression of cottonseed meal cash prices on soybean meal futures provides a direct price movement relationship.
Rahman, Shaikh Mahfuzur +2 more
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