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Diversification Benefits of Managed Futures
Schneeweis, Thomas - 2015
as energy, metals, softs, etc.). In this article, we examine the diversification benefits of managed futures. We examine … results as they relate to the diversification benefits of managed futures …
Persistent link: https://www.econbiz.de/10013038527
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Hedging price risk when real wealth matters
Adam-Müller, Axel F. A. - 1999 - This version: May 25, 1999
This paper analyzes optimal hedging of a tradable risk (e.g. price risk or exchange rate risk) with forward contracts … noise, cross hedging and speculating on the real risk premium are conflicting objectives; the level of relative risk …
Persistent link: https://www.econbiz.de/10011543537
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Strategy diversification : combining momentum and carry strategies within a foreign exchange portfolio
Olszweski, Francis; Zhou, Guofu - In: Journal of derivatives & hedge funds 19 (2013) 4, pp. 311-320
Persistent link: https://www.econbiz.de/10010259395
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Wine price risk management : international diversification and derivative instruments
Kourtis, Apostolos; Markellos, Raphaēl N.; Psychoyios, … - In: International review of financial analysis 22 (2012), pp. 30-37
Persistent link: https://www.econbiz.de/10010219704
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Carbon credit futures as an emerging asset : hedging, diversification and downside risks
Demiralay, Sercan; Gencer, Hatice Gaye; Bayraci, Selcuk - In: Energy economics 113 (2022), pp. 1-19
Persistent link: https://www.econbiz.de/10013540541
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Carbon Credit Futures as an Emerging Asset Hedging, Diversification and Downside Risks
Demiralay, Sercan; Gencer, Gaye Hatice; Bayraci, Selcuk - 2022
, suggesting that the hedging capability of carbon futures is impaired during the pandemic. In terms of diversification benefits … terms of hedging and diversification … investigate potential benefits of investing in carbon credits. In this study, we analyse the feasibility of hedging and …
Persistent link: https://www.econbiz.de/10013307850
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Hedging firm's idiosyncratic risk from commodity financialization
Yang, Baochen; Geng, Peixuan; Fan, Ying - In: International review of economics & finance : IREF 88 (2023), pp. 815-842
Persistent link: https://www.econbiz.de/10014474684
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Hedging firm's idiosyncratic risk from commodity financialization
Yang, Baochen; Geng, Peixuan; Fan, Ying - In: International review of economics & finance : IREF 88 (2023), pp. 815-842
Persistent link: https://www.econbiz.de/10014475040
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Risk management of interest rate derivative portfolios : a stochastic control approach
Kiriakopoulos, Konstantinos; Koulis, Alexandros - In: Journal of risk and financial management : JRFM 7 (2014) 4, pp. 130-149
In this paper we formulate the Risk Management Control problem in the interest rate area as a constrained stochastic portfolio optimization problem. The utility that we use can be any continuous function and based on the viscosity theory, the unique solution of the problem is guaranteed. The...
Persistent link: https://www.econbiz.de/10011552973
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Hedging Volatility Risk of Exotic Structures Using Variance Derivatives
Zarov, Iliyan Radev - 2012
We investigate the effect of including variance derivatives as calibration and hedging instruments for pricing and … hedging exotic structures. This is studied empirically using market data for SPX and VIX derivatives applied in a stochastic …
Persistent link: https://www.econbiz.de/10013113731