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Immunization as a solution to a maximum expected utility strategy
Machnes, Yaffa - 1989
Persistent link: https://www.econbiz.de/10000769090
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Do speculative traders anticipate or follow USD/EUR exchange rate movements? : new evidence on the efficiency of the EUR currency futures market
Hossfeld, Oliver; Röthig, Andreas - 2015
We address the question of whether various types of speculative investor correctly anticipate future USD/EUR currency movements or whether they tend rather to react to past exchange rate movements. Throughout the analysis, we differentiate between large and small traders, and an upper bound of...
Persistent link: https://www.econbiz.de/10011391722
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Utility maximizing hedge ratios in the extended mean Gini framework
Kolb, Robert W.; Okunev, John - 1992
Persistent link: https://www.econbiz.de/10000920662
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Optimal public debt structure
Grimes, Arthur L. - 1992
Persistent link: https://www.econbiz.de/10000913073
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Asset allocation : investment style and hedging style of internationally diversified funds
Gallati, Reto R. - 1995
Persistent link: https://www.econbiz.de/10013452492
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Why hedge? : a critical review of theory and empirical evidence
Ammon, Norbert - 1998
Finance theory does not provide a comprehensive framework for explaining risk management within the imperfect financial … corporate hedging: equity value maximising strategies and strategies determined by managerial risk aversion. The first category … distress and costs of external finance or to replace home-made hedging by shareholders. The second category considers that …
Persistent link: https://www.econbiz.de/10013428154
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Hedging langfristiger Lieferverpflichtungen mit kurzfristigen Futures : möglich oder unmöglich?
Bühler, Wolfgang; Korn, Olaf - 1998
Im Laufe des Jahres 1993 war die Metallgesellschaft Refining & Marketing (MGRM), eine US-amerikanische Tochtergesellschaft der Metallgesellschaft AG, in großem Umfang die Verpflichtung eingegangen, langfristig Öl zu Festpreisen zu liefern. Das dadurch entstehende Preisrisiko sollte über...
Persistent link: https://www.econbiz.de/10013428156
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Shorting the dollar when global stock markets roar : the equity hedging channel of exchange rate determination
Ben Zeev, Nadav; Nathan, Daniel - 2023
Persistent link: https://www.econbiz.de/10014486893
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Intertemporal hedging and trade in repeated games with recursive utility
Kochov, Asen; Song, Yangwei - 2022
Recursive preferences have found widespread application in representative-agent asset-pricing models and general equilibrium. A majority of these applications exploit two decision-theoretic properties not shared by the standard model of intertemporal choice: (i) agents care about the...
Persistent link: https://www.econbiz.de/10014476731