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The asymmetric commodity inventory effect on the optimal hedge ratio

CARPANTIER, Jean-François; SAMKHARADZE, Besik - Center for Operations Research and Econometrics (CORE), … - 2012

Hedging strategies for commodity prices largely rely on dynamic models to compute optimal hedge ratios. This paper … effect in commodity hedging strategies. …

Persistent link: https://www.econbiz.de/10010927672

Modeling international financial returns with a multivariate regime switching copula

CHOLLETE, Loran; HEINEN, Andréas; VALDESOGO, Alfonso - Center for Operations Research and Econometrics (CORE), … - 2008

copula is important for risk management, because it modifies the Value at Risk (VaR) of international portfolio returns. …

Persistent link: https://www.econbiz.de/10005008223

Choquet Rationality.

Ghirardato, P.; Le Breton, M. - Center for Operations Research and Econometrics (CORE), … - 1999

This paper provides a characterization of the consequences of the assumption that a decision maker with a given utility function is Choquet rational: She maximizes expected utility, but possibly with respect to non-additive beliefs, so that her preferences are represented by Choquet expected...

Persistent link: https://www.econbiz.de/10005478939

THE ROLE OF SECURITIES AND LABOUR CONTRACTS IN THE OPTIMAL ALLOCATION OF RISK-BEARING.

DREZE, J.H.L - Center for Operations Research and Econometrics (CORE), … - 1989

Persistent link: https://www.econbiz.de/10005478940

A note on portfolio selection by insurance companies and optimal participating insurance policies.

Gollier, C.; Wibaut, S. - Center for Operations Research and Econometrics (CORE), … - 1991

Persistent link: https://www.econbiz.de/10005478946

Intraday Value-at-Risk.

Giot, P. - Center for Operations Research and Econometrics (CORE), … - 2000

-frequency duration models) and non-parametric (empirical quantile, extreme distributions models) Value-at-Risk (VaR) techniques to …

Persistent link: https://www.econbiz.de/10005478955

Delegation under Asymetric Information.

Rovesti, C. - Center for Operations Research and Econometrics (CORE), … - 1992

Persistent link: https://www.econbiz.de/10005478959

THE OPTIMAL LEVEL AND PROFILE OF UNEMPLOYMENT INSURANCE BENEFITS IN A MODEL OF EMPLOYMENT MISMATCH.

CREMER, H.; MARCHAND, M.; PESTIEAU, P. - Center for Operations Research and Econometrics (CORE), … - 1989

Persistent link: https://www.econbiz.de/10005478978

Voluntary contributions with uncertainty: the environmental quality.

JOUVET, Pierre-André - Center for Operations Research and Econometrics (CORE), … - 1998

certain what effects will result from a reduction of pollution. We show that if an agent is sufficiently risk averse … has two possible consequencies which depend on agent risk aversion. Therefore, understanding the implication of … precautionary attitude, leads us to the consideration of the agents' risk aversion characterization and studying the effect of an …

Persistent link: https://www.econbiz.de/10005042991

Optimal tax policy and expected longevity: a mean and variance approach

LEROUX, Marie-Louise; PONTHIERE, Grégory - Center for Operations Research and Econometrics (CORE), … - 2008

This paper studies the normative problem of redistribution between agents who can influence their survival probability through private health spending, but who differ in their attitude towards the risks involved in the lotteries of life to be chosen. For that purpose, we develop a two-period...

Persistent link: https://www.econbiz.de/10005043161