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Das Management von Aktienkursrisiken mit Derivaten

Zimmermann, Heinz - In: Risikosteuerung von Derivaten, (pp. 5-85). 1996

Persistent link: https://www.econbiz.de/10001318384

Safe-haven demand for housing in London

Eraslan, Sercan - In: Economic modelling 58 (2016), pp. 482-493

Persistent link: https://www.econbiz.de/10011647511

Political uncertainty, hedging and wealth effects of project finance approvals

Ferguson, Andrew - 2020

mandatory hedging requirements and for projects located in higher political risk jurisdictions. Results are robust to …

Persistent link: https://www.econbiz.de/10012856781

Risk-Managed 52-Week High Industry Momentum, Momentum Crashes, and Hedging Macroeconomic Risk

Grobys, Klaus - 2017

This is the first study to investigate the profitability of Barroso and Santa-Clara's (2015) risk-managing approach for George and Hwang's (2004) 52-week high momentum strategy in an industrial portfolio setting. The findings indicate that risk-managing adds value as the Sharpe ratio increases,...

Persistent link: https://www.econbiz.de/10012964844

Hedging Non-Tradable Risks with Transaction Costs and Price Impact

Cartea, Álvaro - 2020

A risk-averse agent hedges her exposure to a non-tradable risk factor U using a correlated traded asset S and accounts for the impact of her trades on both factors. The effect of the agent's trades on U is referred to as cross-impact. By solving the agent's stochastic control problem, we obtain...

Persistent link: https://www.econbiz.de/10012852522

Firm-specific information and systemic risk

Clements, Adam; Liao, Yin - In: Economic modelling 90 (2020), pp. 480-493

Persistent link: https://www.econbiz.de/10012428956

Foreign exchange rate exposure of companies under dynamic regret

Entrop, Oliver; Fuchs, Fabian U. - 2020

optimal hedge ratio given the outcome of past hedging decisions and future expectations. The model implies that the optimal … 2015 and find strong evidence for the model's predictions. By adding a dynamic regret approach to the hedging and FX … literature we shed further light on the rationale behind selective hedging. …

Persistent link: https://www.econbiz.de/10012158926