preference parameters. This paper also shows that stochastic variation in volatility produces an optimal intertemporal hedging … market shows that empirically this correlation is negative and large, which implies a negative hedging demand for stocks … hedging demands by long-term, risk averse investors. A comparative statics exercise shows that the size of hedging demands is …

risks. Portfolios hedging macro uncertainty have historically earned zero or even significantly positive returns, while …

hedging portfolio, which allows them to hedge the dynamic risk. This implies that trading volume of individual assets exhibit … a two-factor structure, and their factor loadings depend on their weights in the hedging portfolio. This allows us to … empirically identify the hedging portfolio using volume data. We then test the two properties of the hedging portfolio: its return …

hedging approach can eliminate nearly 90 percent of the tracking error of more conventional inflation hedging strategies. We … also find that long-short positions in equities play a dominant role in the effective hedging of inflation risk over …

This paper develops a method for option hedging which is consistent with time-varying preferences and probabilities … the spread between implied and objective volatilities. Hedging results reveal that typical hedging techniques for out …-of-the-money S&P500 index options, such as Black-Scholes or historical minimum variance hedging, are inferior to the EPK hedging …