Add to ORKGA dynamic hedging problem with stochastic production is solved. The optimal feedback rules recognize that future hedges will be chosen optimally based on the most current information. The resulting distribution of revenue is analyzed numerically. This analysis enables the hedger to select his appropriate level of risk aversion
Standard static hedging models employing futures contracts yield poor results for most commodities, ...
This study presents a new approach to the optimal hedging decision. In some empirical studies, the s...
The focus of this article is to compare dynamic correlation models for the calculation of minimum va...
A dynamic hedging problem with stochastic production is solved. The optimal feedback rules recognize...
A dynamic hedging problem with stochastic production is solved. The optimal feedback rules recognize...
This paper provides a closed-form rule for dynamic hedging with production uncertainty. The rule is ...
In this paper, we focus on the farmer's risk income, by using commodity futures, when price and outp...
∗We are grateful to Mike Chernov, Francisco Gomes and the seminar participants at London Business Sc...
Classical optimal hedge ratio concentrates on risk reduction and neglects strategic value maximisati...
This article applies the methods of stochastic dynamic programming to a risk management problem, whe...
We provide fully analytical, optimal dynamic hedges in incomplete markets by employing the tradition...
The optimal hedging portfolio is shown to include both futures and options under a variety of circum...
We provide a model of intertemporal hedging consistent with selective hedging, a widespread practice...
All the financial practitioners are working in incomplete markets full of unhedgeable risk-factors. ...
In static framework, many hedging strategies can be settled following the various hedge ratios that ...
Standard static hedging models employing futures contracts yield poor results for most commodities, ...
This study presents a new approach to the optimal hedging decision. In some empirical studies, the s...
The focus of this article is to compare dynamic correlation models for the calculation of minimum va...
A dynamic hedging problem with stochastic production is solved. The optimal feedback rules recognize...
A dynamic hedging problem with stochastic production is solved. The optimal feedback rules recognize...
This paper provides a closed-form rule for dynamic hedging with production uncertainty. The rule is ...
In this paper, we focus on the farmer's risk income, by using commodity futures, when price and outp...
∗We are grateful to Mike Chernov, Francisco Gomes and the seminar participants at London Business Sc...
Classical optimal hedge ratio concentrates on risk reduction and neglects strategic value maximisati...
This article applies the methods of stochastic dynamic programming to a risk management problem, whe...
We provide fully analytical, optimal dynamic hedges in incomplete markets by employing the tradition...
The optimal hedging portfolio is shown to include both futures and options under a variety of circum...
We provide a model of intertemporal hedging consistent with selective hedging, a widespread practice...
All the financial practitioners are working in incomplete markets full of unhedgeable risk-factors. ...
In static framework, many hedging strategies can be settled following the various hedge ratios that ...
Standard static hedging models employing futures contracts yield poor results for most commodities, ...
This study presents a new approach to the optimal hedging decision. In some empirical studies, the s...
The focus of this article is to compare dynamic correlation models for the calculation of minimum va...