Performance of utility-based strategies for hedging basis risk

DOI10.1088/1469-7688/4/3/001zbMath1405.91563OpenAlexW2109544141MaRDI QIDQ4610231

Michael Monoyios

Publication date: 15 January 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://ora.ox.ac.uk/objects/uuid:8216b4b2-2eef-460b-8050-2d6b27d133d5

zbMATH Keywords

utility maximizationindex futureshedging basis risk

Mathematics Subject Classification ID

Utility theory (91B16) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Related Items (12)

Optimal hedging with basis risk under mean-variance criterion ⋮ Stability of utility maximization in nonequivalent markets ⋮ Hedging with Residual Risk: A BSDE Approach ⋮ Power utility maximization under partial information: some convergence results ⋮ Weak approximation of SDEs for tempered distributions and applications ⋮ Convergence of utility indifference prices to the superreplication price in a multiple‐priors framework ⋮ Utility-based hedging and pricing with a nontraded asset for jump processes ⋮ Crypto quanto and inverse options ⋮ Indifference pricing under SAHARA utility ⋮ Asymptotic analysis of utility-based hedging strategies for small number of contingent claims ⋮ Utility indifference pricing and hedging for structured contracts in energy markets ⋮ BSDEs, Càdlàg Martingale Problems, and Orthogonalization under Basis Risk

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