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Interest rate risk management and dynamic portfolio selections
Sun, Hang; Sun, Wan Gui - In: Modern economy 2 (2011) 4, pp. 674-679
Persistent link: https://www.econbiz.de/10009620650
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Effect of variance swap in hedging volatility risk
Shen, Yang - In: Risks : open access journal 8 (2020) 3/70, pp. 1-34
This paper studies the effect of variance swap in hedging volatility risk under the mean-variance criterion. We consider two mean-variance portfolio selection problems under Heston's stochastic volatility model. In the first problem, the financial market is complete and contains three primitive...
Persistent link: https://www.econbiz.de/10012293125
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Hedging strategy for ethanol processing with copula distributions
Awudu, Iddrisu; Wilson, William W.; Dahl, Bruce L. - In: Energy economics 57 (2016), pp. 59-65
Persistent link: https://www.econbiz.de/10011698281
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Portfolio optimization of financial commodities with energy futures
Wang, Lu; Ahmad, Ferhana; Luo, Gong-li; Umar, Muhammad; … - In: Financial modeling and risk management of energy and …, (pp. 401-439). 2022
Persistent link: https://www.econbiz.de/10013350080
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Performance of volatility asset as hedge for investor's portfolio against stress events : COVID-19 and the 2008 financial crisis
Chendurpandian, Chinnaraja; Pandey, Piyush - In: IIMB management review 34 (2022) 3, pp. 242-261
Persistent link: https://www.econbiz.de/10014267001
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Design of power purchase under transmission congestion
Gurgur, Cigdem Z.; Newes, Emily K. - In: International journal of energy sector management : IJESM 6 (2012) 1, pp. 50-64
Persistent link: https://www.econbiz.de/10009550204
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Optimal partial hedging in a discrete-time market as a knapsack problem
Lindberg, Peter - In: Mathematical methods of operations research 72 (2010) 3, pp. 433-451
Persistent link: https://www.econbiz.de/10008748334
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An integer programming model for pricing American contingent claims under transaction costs
Pınar, M. Ç.; Camcı, A. - In: Computational economics 39 (2012) 1, pp. 1-12
Persistent link: https://www.econbiz.de/10009508053
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Dynamic trading under integer constraints
Gerhold, Stefan; Krühner, Paul - In: Finance and stochastics 22 (2018) 4, pp. 919-957
Persistent link: https://www.econbiz.de/10011946587
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Optimising data-driven network under limited resource : a partial diversification approach
Wu, Dexiang; Wu, Desheng Dash; Kwon, Roy H. - In: International journal of production research 57 (2019) 21, pp. 6875-6892
Persistent link: https://www.econbiz.de/10012193767