Using the S&P GSCI and its five component sub-indices, we show that considering each commodity separately yields nontrivial hedging gains in and out of sample. During 1999-2019, the maximum Sharpe ratio portfolio assigns positive weights to the GSCI Energy, Industrial and Precious Metals,...

This paper examines the effectiveness of using futures contracts as hedging instruments of: (1) alternative models of volatility for estimating conditional variances and covariances; (2) alternative currencies; and (3) alternative maturities of futures contracts. For this purpose, daily data of...

This paper investigates dynamic currency hedging benefits, with a further focus on the impact of currency hedging before and during the recent financial crises originated from the subprime and the Euro sovereign bonds. We take the point of view of a Euro-based institutional investor who...

Using a regime switching model, this study analyzes the nature of gold hedging benefits from the perspective of an individual investor who may choose to invest in a portfolio of: a) Index Futures, b) T-note Futures, c) Oil Futures and d) Gold Futures. Empirical findings support the argument that...

This paper reports two composite bond market factor investment strategies for the Swiss and global sovereign bond markets. The composite factor strategies can be used as a tool for tactical asset allocation decisions between bonds and cash, and to base the duration debate upon. As such, the...

Starting from well-known empirical stylised facts of financial time series, we develop dynamic portfolio protection trading strategies based on econometric methods. As a criterion for riskiness we consider the evolution of the value-at-risk spread from a GARCH model with normal innovations...

We propose a theoretical measure of income hedging demand and show that it affects asset prices. We focus on the value factor and first demonstrate that our demand estimates are correlated with the actual demands of retail and mutual fund investors. Then, we show that the aggregate HML demand...

The recently introduced German wind power futures have brought the opportunity to address the problem of volume risk in wind power generation directly. In this paper, we study the hedging benefits of these instruments in the context of gas-fired power plants by employing a strategy that allows...

This study examines the use of leveraged exchange traded funds (LETFs) within a constant proportional portfolio insurance (CPPI) strategy. The advantage of using LETFs in such a strategy is that it allows a greater percentage of the portfolio to be invested in the risk-free rate relative to a...

Geopolitical events can impact volatilities of all assets, asset classes, sectors and countries. It is shown that innovations to volatilities are correlated across assets and therefore can be used to measure and hedge geopolitical risk. We introduce a definition of geopolitical risk which is...