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...

The discourse of the discussion in research articles is regarded to be of considerable significance—as in this section the findings are interpreted in light of previous research and the authors’ argumentations are put forward as a major contribution (see Hyland, 1999). For this reason, the content and structure of the discussion section have been explored in several studies; however, little att...

We assume that firms actively manage risk by learning and hedging in two macroeconomic models, a simple cobweb model and a model of monopolistic competition that allows for the analysis of monetary policy and welfare. In both models, firms that learn (by paying a cost to observe the model’s stochastic shocks) face less uncertainty and produce more output than firms that hedge. Parameter or poli...

This study aims to ascertain how the capital structure affects firm value via profitability moderated by hedging practices and size. Verification analysis is used in this study, with data techniques through conditional process analysis. Companies from miscellaneous industrial sectors that were listed on Indonesia Stock Exchange between 2016 2020 make up research population. The showed that: pro...

Production, maintenance, and quality are often modeled as separate problems, despite the strong link that exists between these primary components of any manufacturing system. This paper deals with an integrated approach for the joint optimization of production-inventory control and preventive maintenance policy for a manufacturing cell comprising an imperfect process where the ‘in-control’ peri...

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 develop a flexible discrete-time hedging methodology that minimizes the expected value of any desired penalty function of the hedging error within a general regimeswitching framework. A numerical algorithm based on backward recursion allows for the sequential construction of an optimal hedging strategy. Numerical experiments comparing this and other methodologies show a relative expected pen...