Similar Search Results

Narrow search

Diamonds and precious metals for reduction of portfolio tail risk

Barbi, Massimiliano; Geman, Hélyette; Romagnoli, Silvia - In: Applied economics 52 (2020) 26, pp. 2841-2861

Persistent link: https://www.econbiz.de/10012221456

Optimal hedge ratio under a subjective re-weighting of the original measure

Barbi, Massimiliano; Romagnoli, Silvia - In: Applied economics 48 (2016) 13/15, pp. 1271-1280

Persistent link: https://www.econbiz.de/10011433130

A generalized approach to optimal hedging with option contracts

Bajo, Emanuele; Barbi, Massimiliano; Romagnoli, Silvia - In: The European journal of finance 21 (2015) 7/9, pp. 714-733

Persistent link: https://www.econbiz.de/10011302047

Optimal corporate hedging using options with basis and production risk

Bajo, Emanuele; Barbi, Massimiliano; Romagnoli, Silvia - In: The North American journal of economics and finance : a … 30 (2014), pp. 56-71

Persistent link: https://www.econbiz.de/10010463594

Interest rate risk estimation : a new duration-based approach

Bajo, Emanuele; Barbi, Massimiliano; Hullier, David - In: Applied economics 45 (2013) 19/21, pp. 2697-2704

Persistent link: https://www.econbiz.de/10010189364

A Copula-Based Quantile Risk Measure Approach to Estimate the Optimal Hedge Ratio

Barbi, Massimiliano - 2015

We propose an innovative theoretical model to determine the optimal hedge ratio (OHR) with futures contracts as the minimizer of a quantile risk measure. This class of measures is very large and allows to recover the minimum-VaR and the minimum-expected shortfall hedge ratios as special cases....

Persistent link: https://www.econbiz.de/10013035984

A copula-based quantile risk measure approach to estimate the optimal hedge ratio

Barbi, Massimiliano; Romagnoli, Silvia - In: The journal of futures markets 34 (2014) 7, pp. 658-675

Persistent link: https://www.econbiz.de/10010507942