-related portfolio should diversify to Philippine equity. From hedging effectiveness and risk-adjusted-performance perspectives, oil is …

is essential for companies to engage in hedging as part of their financial policy in order to prevent their results from … being affected by market frictions. In this context, the present study aimed to verify the impact of hedging on the agency … companies between 2010 and 2017 (all companies that use derivatives for hedging). The results obtained agree with the literature …

payoff functions that were first derived in the context of partial hedging by Föllmer and Leukert. Not only does this … approach better accommodate the realistic setting of hedging in discrete time, it also allows for the inclusion of transaction …

The main purpose of this comprehensive study is to determine the optimal hedge ratios and hedging effectiveness of … capture changes in the hedging effectiveness of the contracts. We find that the diagonal VECH and constant models produce … almost identical positive results for both periods, suggesting similar high hedging effectiveness for BIST 30 equity futures …

, Dow-Jones, Nikkei, S&P 500, Brent, and WTI futures can be effective hedging instruments. We use a wavelet-based dynamic … hedging model to account for heterogeneous investors in the Bitcoin market. For a short-term horizon, soybean futures reduce … are the best for in-sample hedging in a long-term horizon, whereas live cattle futures have the best out …

the Covid 19 outbreak. Hedging property is found to be homogenous within countries and stable in time. Using either …

Since the collapse of the Metallgesellschaft AG due to hedging losses in 1993, energy practitioners have been concerned … hedging long-dated futures and options with their short-dated counterparts, we find that the long-term tracking errors are, on …