Results 31 to 40 of about 1,485,456 (149)
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.
Udo Broll, Peter Welzel, Kit Pong Wong
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Fisheries Oceanography, EarlyView.ABSTRACT The Kattegat Sea acts as a nursery area for several fishes, exhibiting complex ichthyoplankton dynamics influenced by environmental factors and species‐specific traits. We investigated factors influencing spatiotemporal variability in yolk‐sac larvae presence and areal density for three economically and ecologically important fishes: sandeel ...
Kris‐Emil Mose Jørgensen +2 more
wiley +1 more source
Robust Exponential Hedging and Indifference Valuation [PDF]
We discuss the problem of exponential hedging in the presence of model uncertainty expressed by a set of probability measures. This is a robust utility maximization problem with a contingent claim.
Owari, Keita
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When in Doubt, Tax More Progressively? Uncertainty and Progressive Income Taxation
International Economic Review, EarlyView.ABSTRACT We study the optimal income tax problem under parameter uncertainty about household preferences and wage dynamics. We derive conditions characterizing how such uncertainty affects optimal tax policy. To quantify the effect, we estimate a life‐cycle model using US data and a Bayesian approach.
Minsu Chang, Chunzan Wu
wiley +1 more source
Hedging strategies and minimal variance portfolios for European and exotic options in a Levy market [PDF]
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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International Transactions in Operational Research, EarlyView.Abstract This work aims at minimizing the energy purchase costs related to the operation of a green hydrogen production plant connected both to an intermittent, uncertain renewable energy source and to the power grid. We focus on scenarios where, for economic or environmental reasons, the plant must primarily meet hydrogen demand using electricity from
Victor Spitzer +5 more
wiley +1 more source
On the Existence of Efficient Hedge for an American Contingent Claim: Discrete Time Market [PDF]
We show the existence of efficient hedge strategies for an investor facing the problem of a lack of initial capital for implementing a (super-) hedging strategy for an american contingent claim in a general incomplete market.
Leonel Pérez-Hernández
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The expected inflation risk premium in the U.S. stock market
Journal of Financial Research, EarlyView.Abstract This article studies how expected inflation risk affects asset prices. We propose an ex‐ante, tradable proxy for this risk, derived from the term spread of gold futures prices. Using cross‐sectional and time series asset pricing tests, we show how an increase in expected inflation risk lowers contemporaneous prices and raises equity returns ...
Pascal Letourneau +2 more
wiley +1 more source
(S,S)-ADJUSTMENT STRATEGIES AND DYNAMIC HEDGING [PDF]
We study the destabilising effect of dynamic hedging strategies on the price of the underlying asset in the presence of transaction costs. Once transaction costs are taken into account, continuous portfolio re-hedging is no longer an optimal strategy ...
Rainer Andergassen, Elettra Agliardi
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EU ETS Market Expectations and Rational Bubbles
Journal of Money, Credit and Banking, EarlyView.Abstract The European Union Emissions Trading System (EU ETS) experienced sharp allowance price increases from 2018 onward, prompting claims that rational bubbles were driving the surge. We reassess this hypothesis using expectations based on futures prices.
CHRISTOPH WEGENER +2 more
wiley +1 more source