Mean-variance hedging with oil futures
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Publication:377447
DOI10.1007/S00780-013-0203-XzbMATH Open1275.91126OpenAlexW2095749237MaRDI QIDQ377447FDOQ377447
Authors: Liao Wang, Johannes Wissel 
Publication date: 6 November 2013
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://hdl.handle.net/1813/23567
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Cited In (11)
- Optimal futures hedging strategies based on an improved kernel density estimation method
- Title not available (Why is that?)
- Mean-variance hedging in the presence of estimation risk
- A stochastic oil price model for optimal hedging and risk management
- Dynamic hedging strategy based on long-term investment perspective: crude oil futures portfolio for case analysis
- Appraising the convenience of a call-based dynamical hedging strategy for an oil-company
- Dynamic speculation and hedging in commodity futures markets with a stochastic convenience yield
- Hedging mean-reverting commodities
- Adjusting stacked-hedge ratios for stochastic convenience yield: a minimum variance approach
- The global minimum variance hedge
- Barndorff-Nielsen and Shephard model: oil hedging with variance swap and option
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