compliance with the interest rate risk regulation. Although hedging motives dominate, we find selective hedging behavior in swap …

This paper considers the multiperiod hedging decision in a framework of mean-reverting spot prices and unbiased futures … markets. The task is to determine the optimal hedging path, i.e., the sequence of positions in futures contracts with the … objective of minimizing the variance of an uncertain future cash flow. The model is used to illustrate both hedging using a …

management the ETFs with negative leverage factors can also be applied for the hedge or cross hedge of a portfolio. These hedging … case that a bearish market is supposed, minimizing the variance of the hedge seems not to obtain better hedging results … return high leverage factors should not be used for hedging, due to the higher volatility and target-shortfall probability …

contracts. -- Spot Market Power ; Derivates Market ; Hedging …

Cross hedging price risk in an incomplete financial market creates basis risk. We propose a new way of modeling basis … necessary and sufficient condition for underhedging in an unbiased market. Using the example of cross hedging jet fuel price … cross hedges differ significantly from those derived under the traditional additive cross hedging model …

The paper investigates the relationship between corporate hedging and product market competition. Using a broad sample …

hedging effect, we find that conservative (aggressive) financial policies are generally associated with higher (lower …) valuations. In addition, consistent with hedging theories, we find that firms with high growth opportunities which also face …