This paper proposes a model-free approach to hedging and pricing in the presence of market imperfections such as market … incompleteness and frictions. The generality of this framework allows us to conduct an in-depth theoretical analysis of hedging … strategies with a wide family of risk measures and pricing rules, and study the conditions under which the hedging problem admits …

This paper proposes a robust approach to hedging and pricing in the presence of market imperfections such as market … incompleteness and frictions. The generality of this framework allows us to conduct an in-depth theoretical analysis of hedging … proposed theoretical approach are illustrated with an application on hedging economic risk. …

investors and the hedging of exposures remains dificult. This paper proposes to overcome these problems by introducing a call … hedging risk. Even if this is not entirely possible, the replication approach serves as pricing benchmark for investors who …

hedge ratio. Extensive out-of-sample tests give insights in the practice of hedging various cryptos and crypto indices … diverse dependence structures between BTC-not-involved assets and the futures. As a consequence, results of hedging other …

We derive the optimal hedging ratios for a portfolio of assets driven by a Cointegrated Vector Autoregressive model …

located in France, Germany, the U.K., and the U.S. under different assumptions about currency hedging. We compare these …

-related portfolio should diversify to Philippine equity. From hedging effectiveness and risk-adjusted-performance perspectives, oil is …