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The introduction of derivatives on Bitcoin enables investors to hedge risk exposures in cryptocurrencies. Because of …, different risk measures, such as value-at-risk, expected shortfall and spectral risk measures are employed to and the optimal … hedge ratio. Extensive out-of-sample tests give insights in the practice of hedging various cryptos and crypto indices …
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robust with respect to a volatility measure and provide direct policy implications for portfolio composition and hedging. …
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risk can transfer it to financial markets via weather derivatives. We develop a utility-based model for pricing baskets of … weather derivatives under default risk on the issuer side in over-the-counter markets. In our model, agents maximise the …
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for cryptocurrency risk management. Our findings reveal that Cardano and Ripple are the most effective choices in … portfolio optimization. The implications of this study are significant for devising strategies in portfolio management and risk … increased by up to 20% for up to one month after the shocks occurred. We calculate optimal portfolio weights and hedging ratios …
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optimization and uncover the Swiss franc and Japanese yen as the most suitable tools for managing currency risk. The effects of …
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