The purpose of this research is to fill the gaps in the literature by providing a comprehensive study on how to utilize and improve the performance of the receding horizontal control and stochastic programming (RHCSP) method pertaining to the oil and currency markets

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...

Since their first introduction in 1996, weather derivatives have been a topic of discussion. The ongoing climate change has, in fact, increased the risks for companies that are naturally exposed to meteorological variables, raising questions on how such companies should manage these increasingly...

This article proposes a multi-currency cross-hedging strategy that minimizes the exchange risk. The use of derivatives in small and medium-sized enterprises (SMEs) is not common but, despite its complexity, can be interesting for those with international activities. In particular, the reduction...

"The proven advice and tools you need to protect your portfolio from the next financial catastropheIn the very first book on the subject of tail risk hedging, Bhansali reveals strategies investors can use to protect themselves from potentially catastrophic events. The most important development...

Identify and understand the risks facing your portfolio, how to quantify them, and the best tools to hedge them This book scrutinizes the various risks confronting a portfolio, equips the reader with the tools necessary to identify and understand these risks, and discusses the best ways to hedge...