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...

Standard operating policy and hedging policies are commonly used for reservoir operation for municipal or irrigation water supply. Application of these policies to hydropower reservoir operation is complex. In this paper, new standard operating policies and standard hedging policy are proposed for hydropower reservoir operation. The newly proposed policies were applied to the operation of Indir...

background: several reservoir systems have been constructed for hydropower generation around the world. hydropower offers an economical source of electricity with reduce carbon emissions. therefore, it is such a clean and renewable source of energy. reservoirs that generate hydropower are typically operated with the goal of maximizing energy revenue. yet, reservoir systems are inefficiently ope...

This paper characterizes optimal currency hedging in several models of downside risk. We consider, in turn, three models of hedging: (i) a firm that chooses its hedging policy in the presence of bankruptcy costs; (ii) an all equity firm that faces a convex tax schedule; and (iii) a firm whose manager is subject to loss aversion. In all these models, and contrary to conventional wisdom, we show ...

Macrohedging is a hedging technique commonly used in practice. It allows one to find a hedging policy that offsets several underlying risk factors of a portfolio of assets as a whole. Here, we develop a macrohedging methodology in a general semimartingale market. We calculate the optimal macrohedge that achieves minimum risk, in a quadratic-variation sense, given a set of possible hedging instr...

This article explores the linguo-pragmatic potential of hedging, which is a means speech insurance. The purpose study to identify and describe linguistically hedging used by journalists in Swiss articles on economic issues, taking into account peculiarities language situation German-speaking Switzerland. An attempt made determine pragmatic function identified instruments. materials are fragment...

Nongenetic variation in phenotypes, or bet-hedging, has been observed as a driver of drug resistance in both bacterial infections and cancers. Here, we study how bet-hedging emerges in genotype-phenotype (GP) mapping through a simple interaction model: a molecular switch. We use simple chemical reaction networks to implement stochastic switches that map gene products to phenotypes, and investig...

The paper introduces and studies hedging for game (Israeli) style extension of swing options considered as multiple exercise derivatives. Assuming that the underlying security can be traded without restrictions we derive a formula for valuation of multiple exercise options via classical hedging arguments. Introducing the notion of the shortfall risk for such options we study also partial hedgin...

We analyse the convergence rate of the quadratic tracking error, when a Delta-Gamma hedging strategy is used at N discrete times. The fractional regularity of the payoff function plays a crucial role in the choice of the trading dates, in order to achieve optimal rates of convergence.