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  • Search: subject:"Implementation of optimal hedging"
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Derivatives hedging 1 Forecasting ability 1 Forecasting applications 1 Hedging errors 1 Hedging techniques 1 Hedging with utility-based preferences 1 Implementation of optimal hedging 1 Trading costs 1
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Chen, An-Sing 1 Liu, Yan-Zhen 1
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Quantitative Finance 1
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Enhancing hedging performance with the spanning polynomial projection
Chen, An-Sing; Liu, Yan-Zhen - In: Quantitative Finance 8 (2008) 6, pp. 605-617
Statistical time-series approaches to hedging are difficult to beat, especially out-of-sample, and are capable of out-performing many theory-based derivative pricing model approaches to hedging commodity price risks using futures contracts. However, the vast majority of time-series approaches to...
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