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~person:"Cotter, John"
~person:"Kallsen, Jan"
~person:"Stroebel, Johannes"
~subject:"Portfolio selection"
~subject:"Risikoaversion"
~type_genre:"Arbeitspapier"
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Cotter, John
Kallsen, Jan
Stroebel, Johannes
Platen, Eckhard
8
Giglio, Stefano
7
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6
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ECONIS (ZBW)
10
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1
A Quantity-Based Approach to Constructing Climate Risk Hedge Portfolios
Alekseev, Georgij
;
Giglio, Stefano
;
Maingi, Quinn
; …
-
National Bureau of Economic Research
-
2022
We propose a new methodology to build portfolios that hedge the economic and financial risks from climate change. Our quantity-based approach exploits information on how mutual fund managers trade in response to idiosyncratic changes in their climate risk beliefs. We exploit two types of...
Persistent link: https://www.econbiz.de/10013477195
Saved in:
2
Hedging
climate change news
Engle, Robert F.
;
Giglio, Stefano
;
Lee, Heebum
;
Kelly, …
-
2019
-
This version: May 7, 2019
exposures. We show that this approach yields parsimonious and industry-balanced portfolios that perform well in
hedging
…
Persistent link: https://www.econbiz.de/10012024377
Saved in:
3
Hedging
climate change news
Engle, Robert F.
;
Giglio, Stefano
;
Kelly, Bryan T.
; …
-
2019
Persistent link: https://www.econbiz.de/10012015507
Saved in:
4
Performance of utility based hedges
Cotter, John
;
Hanly, Jim
-
2014
Persistent link: https://www.econbiz.de/10010343566
Saved in:
5
Downside risk and the energy hedger's horizon
Conlon, Thomas
;
Cotter, John
-
2012
Persistent link: https://www.econbiz.de/10009755846
Saved in:
6
Commodity futures
hedging
, risk aversion and the
hedging
horizon
Conlon, Thomas
;
Cotter, John
;
Gençay, Ramazan
-
2012
Persistent link: https://www.econbiz.de/10009755848
Saved in:
7
Hedging
climate change news
Engle, Robert F.
;
Giglio, Stefano
;
Kelly, Bryan T.
; …
-
2019
Persistent link: https://www.econbiz.de/10012161614
Saved in:
8
Option pricing and
hedging
with small transaction costs
Kallsen, Jan
;
Muhle-Karbe, Johannes
-
2012
presence of a random endowment, we obtain asymptotic formulas for utility indi erence prices and
hedging
strategies in the …
Persistent link: https://www.econbiz.de/10009684284
Saved in:
9
An empirical analysis of dynamic multiscale
hedging
using wavelet decomposition
Conlon, Thomas
;
Cotter, John
-
2011
This paper investigates the
hedging
effectiveness of a dynamic moving window OLS
hedging
model, formed using wavelet … various
hedging
horizons for a number of assets. The effectiveness of the dynamic multiscale
hedging
strategy is then tested …
Persistent link: https://www.econbiz.de/10008908854
Saved in:
10
Time varying risk aversion : an application to energy
hedging
Cotter, John
;
Hanly, Jim
-
2010
of risk aversion that is based on the observed risk preferences of energy
hedging
market participants. The resulting …
Persistent link: https://www.econbiz.de/10008810105
Saved in:
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