Commodity Futures Hedging, Risk Aversion and the Hedging Horizon
نویسندگان
چکیده
منابع مشابه
Commodity Futures Hedging, Risk Aversion and the Hedging Horizon
This paper examines the impact of management preferences on optimal futures hedging strategy and associated performance. Applying an expected utility hedging objective, the optimal futures hedge ratio is determined for a range of preferences on risk aversion, hedging horizon and expected returns. Empirical results reveal substantial hedge ratio variation across distinct management preferences a...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2012
ISSN: 1556-5068
DOI: 10.2139/ssrn.2145829