We consider the hedging problem where a futures position can be automatically liquidated by theexchange without notice …. We derive a semi-closed form for an optimal hedging strategy with dualobjectives -- to minimise both the variance of the … direct and inverse hedging instruments traded on five different exchanges, based on minute-level data. We also link this …

This study investigates the benefits of using a more complex derivative strategy of a fund in relation to their … the study are consistent with the hypothesis that the complexity of derivative strategy can be related to increased … leaving little reasonable motivation for investors to invest in complex derivative strategies …

determined by hedging pressure, stock market returns, and the commodity-equity correlation. Empirically, the effect of the stock …. Furthermore, hedging pressure is a strong explanatory variable for the futures risk premium in various circumstances …