Downside Risk and the Energy Hedger's Horizon
نویسندگان
چکیده
منابع مشابه
Downside risk and the energy hedger's horizon
a r t i c l e i n f o In this paper, we explore the impact of investor time-horizon on an optimal downside hedged energy portfolio. The optimal heating oil hedge ratio is first calculated for a variety of downside risk objective functions at different time-horizons using the wavelet transform. Next, associated hedging effectiveness is contrasted for a range of risk metrics, with all metrics sho...
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The paper characterizes a family of downside risk measures. They depend on a target value and a parameter reflecting the attitude towards downside risk. The indicators are probability weighted −order means of possible shortfalls. They form a subclass of the measures intro¬duced by Stone (1973) and are related to the measures proposed by Fishburn (1977). The axiomatization is based on some prope...
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In this paper, we show that risk vulnerability can be associatedwith the concept of downside risk aversion (DRA) and an assumption about its behavior, namely that it is decreasing inwealth. Specifically, decreasing downside risk aversion in the Arrow–Pratt and Ross senses are respectively necessary and sufficient for a zero-mean background risk to raise the aversion to other independent risks. ...
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Traditionally, downside risk aversion is the study of the placement of a pure risk (a secondary risk) on either the upside or the downside of a primary two-state risk. When the decision maker prefers to have the secondary risk placed on the upside rather than the downside of the primary lottery, he is said to display downside risk aversion. The literature on the intensity of downside risk avers...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2012
ISSN: 1556-5068
DOI: 10.2139/ssrn.2145831