Dewally, Michaël; Marriott, Luke - In: Journal of risk and financial management : JRFM 1 (2008) 1, pp. 41-76
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...