We consider the hedging problem where a futures position can be automatically liquidated by theexchange without notice …. We derive a semi-closed form for an optimal hedging strategy with dualobjectives -- to minimise both the variance of the … direct and inverse hedging instruments traded on five different exchanges, based on minute-level data. We also link this …

solution, however, probably suits those investors that, rather than hedging against tail risk, are actually ready to be more …

perspective indicates that, for the period studied, optimal currency hedging has the potential to add value in terms of additional …