Preference-free optimal hedging using futures

DOI10.1016/S0165-1765(99)00195-0MaRDI QIDQ1606431zbMATH OpenOpenAlexFDO

Authors Vadhindran K. Rao

Publication date 1 September 2002

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0165-1765(99)00195-0

zbMATH Keywords

risk preferencehedge ratios

Mathematics Subject Classification ID

Recommendations

• Optimal hedging in the futures market under price uncertainty
• Optimal hedging and equilibrium in a dynamic futures market
• scientific article; zbMATH DE number 5371071
• The preferred hedge instrument
• Research on futures optimal hedging model based on VaR and its application

Cites work

• scientific article; zbMATH DE number 3886886 (Why is no real title available?)
• Mutual fund separation in financial theory - the separating distributions
• Optimal hedging in the futures market under price uncertainty

Cited in

(13)

• A simple test of optimal hedging policy
• Hedging long-term forwards with short-term futures: a two-regime approach
• Allais, Ellsberg, and preferences for hedging
• scientific article; zbMATH DE number 5371071 (Why is no real title available?)
• Optimal hedging in a dynamic futures market with a nonnegativity constraint on wealth
• Optimal versus no arbitrage hedge ratio: a stochastic control approach
• Optimal hedging in the futures market under price uncertainty
• Optimal hedging via large deviation
• Research on futures optimal hedging model based on VaR and its application
• Static hedging with uncertain quantity and departure from the cost-of-carry valuation
• The preferred hedge instrument
• Expectation dependence: the banking firm under risk
• Optimal hedging and equilibrium in a dynamic futures market

This page was built for publication: Preference-free optimal hedging using futures

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1606431)