of risk aversion that is based on the observed risk preferences of energy hedging market participants. The resulting …Risk aversion is a key element of utility maximizing hedge strategies; however, it has typically been assigned an … estimates are applied to derive explicit risk aversion based optimal hedge strategies for both short and long hedgers. Out …

of riskaversion that is based on the observed risk preferences of energy hedging marketparticipants. The resulting …Risk aversion is a key element of utility maximizing hedge strategies; however, it hastypically been assigned an … estimates are applied to derive explicit risk aversion basedoptimal hedge strategies for both short and long hedgers. Out …

approach return and risk of various rollover option strategies (put hedge; covered short call; collar). In addition to measure …) historique, ils evaluent le possibilites et risques des strategies de hedging par options (put hedge; covered short call; collar … auteurs essaient d´identifier des relations determinantes entre les differents types des strategies de hedging par options …

A key issue in the estimation of energy hedges is the hedgers’ attitude towards risk which is encapsulated in the form … quadratic when estimating hedges. This paper addresses this issue by estimating and applying energy market based risk aversion … to commonly applied utility functions including log, exponential and quadratic, and we incorporate these in our hedging …

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 …, both in- and out-of-sample, using standard variance reduction and expanded to include a downside risk metric, the time …

of risk aversion that is based on the observed risk preferences of energy hedging market participants. The resulting …Risk aversion is a key element of utility maximizing hedge strategies; however, it has typically been assigned an … estimates are applied to derive explicit risk aversion based optimal hedge strategies for both short and long hedgers. Out …

Hedge Ratio (OHR) across different hedging time horizons. We examine whether hedge ratios calculated over a short term … hedging horizon can be scaled and successfully applied to longer term horizons. We also test the equivalence of scaled hedge … ratios with those calculated directly from lower frequency data and compare them in terms of hedging effectiveness. Our …