Doran, James S.; Ronn, Ehud I. - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-10
with the ability to hedge long-dated linear and non-linear oil liabilities with short-dated futures and options. This paper … analysis to implementing hedge portfolios for long-dated futures or option contracts over the time period 2007-2017, we utilize … hedging long-dated futures and options with their short-dated counterparts, we find that the long-term tracking errors are, on …