We examine whether hedging effectiveness is affected by asymmetry in the return distribution by applying tail specific metrics to compare the hedging effectiveness of short and long hedgers using crude oil futures contracts. The metrics used include Lower Partial Moments (LPM), Value at Risk (VaR) and Conditional Value at Risk (CVAR). Comparisons are applied to a number of hedging strategies in...

abstract in this paper an attempt is made to determine the most suitable agricultural commodities to be adopted for establishing a futures market in iran. two different approaches are adopted: the first involves identifying factors that contribute significantly to the success or failure of existing agricultural commodities futures contracts in established futures markets. the second involves si...

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...

The performance of optimal strategies for hedging a claim on a nontraded asset is analyzed. The claim is valued and hedged in a utility maximization framework, using exponential utility. A traded asset, correlated with that underlying the claim, is used for hedging, with the correlation typically close to 1. Using a distortion method [22] we derive a nonlinear expectation representation for the...

H igh price volatility and the risk are the main features of commodity markets. One way to reduce this risk is to apply the hedging policy by future contracts. In this regard, in this paper, we will calculate the optimal hedging ratios for OPEC oil. In this study, besides the multivariate GARCH models, for the first time we use conditional copula models for modelling dependence struc...

this study set out to investigate the similarities and differences in frequency of incidence and type of hedging devices used in research articles written by iranian and non-iranian writers. for the purposes of the study, a corpus including 40 agriculture articles in english (20 written by iranian and 20 by non-iranian writers) were selected. collection and classification of the hedging devices...

To deal with severe drought when water supply is insufficient hedging rule, based on hedging rule curve, is proposed. In general, in discrete hedging rules, the rationing factors have changed from a zone to another zone at once. Accordingly, this paper is an attempt to improve the conventional hedging rule to control the changes of rationing factors. In this regard, the simulation model has emp...