Fu, Junhui; Zhang, Wei-Guo; Yao, Zheng; Zhang, Xili - In: Economic Modelling 29 (2012) 4, pp. 1070-1075
This paper considers the hedging problem of a portfolio composed of raw materials and a commodity. A new theoretical model is presented to manage the risk exposure of the portfolio under the mark-to-market risk. Moreover, we employ the Lemke algorithm to obtain the optimal hedging strategy. We...