of risk aversion that is based on the observed risk preferences of energy hedging market participants. The resulting …

of riskaversion that is based on the observed risk preferences of energy hedging marketparticipants. The resulting …

to commonly applied utility functions including log, exponential and quadratic, and we incorporate these in our hedging …

This paper investigates the hedging effectiveness of a dynamic moving window OLS hedging model, formed using wavelet … various hedging horizons for a number of assets. The effectiveness of the dynamic multiscale hedging strategy is then tested …

of risk aversion that is based on the observed risk preferences of energy hedging market participants. The resulting …

Hedge Ratio (OHR) across different hedging time horizons. We examine whether hedge ratios calculated over a short term … hedging horizon can be scaled and successfully applied to longer term horizons. We also test the equivalence of scaled hedge … ratios with those calculated directly from lower frequency data and compare them in terms of hedging effectiveness. Our …