Mean-variance hedging with oil futures
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Publication:377447
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Cites work
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- scientific article; zbMATH DE number 17495 (Why is no real title available?)
- A guided tour through quadratic hedging approaches
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Cited in
(11)- 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
- Barndorff-Nielsen and Shephard model: oil hedging with variance swap and option
- Mean-variance hedging in the presence of estimation risk
- The global minimum variance hedge
- Optimal futures hedging strategies based on an improved kernel density estimation method
- Adjusting stacked-hedge ratios for stochastic convenience yield: a minimum variance approach
- Hedging mean-reverting commodities
- Dynamic speculation and hedging in commodity futures markets with a stochastic convenience yield
- scientific article; zbMATH DE number 5524273 (Why is no real title available?)
- A stochastic oil price model for optimal hedging and risk management
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