essential in analyzing optimal hedging and export decisions. When the spot exchange rate and the futures exchange rate are …

currencies with negative carry. However, not hedging the foreign currency exposure can lead to significant drawdowns, especially … currency hedging over static hedging. Using a parsimonious model for hedge ratio based on multiple features of merit and an … explicit check for maximum allowed under-hedging, we show that a cost aware, dynamic hedging strategy can reduce the hedging …

The present study has extended the analysis of Dash et al (2008) in comparing the performance of different hedging …. Based on the results of the simulation of this model, the hedging strategies which yielded highest returns and lowest …

spot and futures rates. A dynamic hedging strategy based on a bivariate GARCH model augmented with a common jump component … rates. The out-of-sample hedging exercises show that optimal hedge ratios which incorporate information from common jump …

We derive a closed-form expression for the mean and marginal hedging demand on risky assets in long-term asset …-form expression for the hedging demand is exact under polynomial specifications of the portfolio policy rule and a suitable … approximation for unknown smooth parametric portfolio policy rules using Taylor expansions. The hedging demand on risky assets …

international diversification is still valuable with regime changes. Currency hedging imparts further benefit. The costs of ignoring … the regimes are small for moderate levels of risk aversion, and the intertemporal hedging demands induced by time …