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 …

domestic portfolio. We propose modeling the currency hedging strategy as a function of characteristics proxying for expected … hedging. Proxies for risk, such as volatility, skewness, beta on volatility, and equity sensitivity are irrelevant in our …

potential benefits suggested by asset allocation theory can actually be captured in the real world using expected return …

moving, on home values, and on labor income in each region. The hedging demands offset each other when the household intends …

focus on pricing, hedging, and allocation of prices or hedging costs to desks on an individual trade basis. We show how to …