Adland, Roar; Ameln, Haakon; Børnes, Eirik A. - In: Journal of Shipping and Trade (JST) 5 (2020) 1, pp. 1-18
We show that a fixed-maturity time-weighted Forward Freight Agreement (FFA) portfolio should be used to proxy the expected future earnings of a vessel. We investigate the corresponding hedging efficiency when using a portfolio of FFA prices to hedge ship price risk of both static hedge ratios...
