, we show that agents economic hedging portfolios can be obtained by an intuitively appealing, risk aversion …-weighted approximate replication of the economic risk variables using the investment opportunity set, as opposed to the unweighted hedging …-dependent hedging adjustments with respect to one or more securities.Moreover, we analyze investors speculative positions and find that …

Existing research on the hedging effectiveness of currency futures assumes that futures positions are continuously … adjusted. This is an unrealistic assumption in practice. In this paper we study the hedging effectiveness for futures positions … determine hedge ratios and hedging effectiveness. These are the minimum-variance model of Ederington (1979), the "-t model of …

double barriers on to single barriers.Non-dynamic hedges overcome bulky transaction costs due to dynamic hedging trades …

We propose a new approach to the pricing and hedging of contingent claims under transaction costs in a general …

study the question what an investor can do who is unwilling to spend that much, and who is ready to use a hedging strategy …

An investor faced with a contingent claim may eliminate risk by (super-)hedging in a financial market. As this is often …