This article develops a Hedging Algebraic Model (HAM) for equity index portfolios with stock index futures as an … models used to date for the calculation of the optimal hedging ratio do not include the effect of discrete dividend payouts … presented here as an alternative approach to econometrics models yields superior results, both in hedging efficacy and in the …

futures contracts. We find that a small set of futures traded on major international exchanges are sufficient only for hedging … crucial for hedging their macroeconomic risks. The hedging is more effective in countries where export/import depends less on …

solution derived can be seen as the optimal hedging strategy for a position in an option, or, more generally, as the optimal …

We provide a theory of the determination of exchange rates based on capital flows in imperfect financial markets … theory of exchange rate determination in imperfect financial markets not only rationalizes the empirical disconnect between …

This paper examines the effectiveness of using futures contracts as hedging instruments of: (1) alternative models of …, Euro, British pound and Japanese yen, against the American dollar, are used to analyze hedge ratios and hedging … optimal portfolio weights and optimal hedge ratios to identify appropriate currency hedging strategies. The hedging …

. Furthermore, both asset classes are found possessing weak inflation hedging characteristics during inflationary periods …