In this paper we study a risk-minimizing hedge ratio with futures contracts, where the risk of the hedged portfolio is measured through a spectral risk measure, thus incorporating the degree of agent's risk aversion. We empirically estimate the optimal hedge ratio using a long time series of UK...

We investigate the optimal hedging strategy for a firm using options, where the role of production and basis risk are considered. Contrary to the existing literature, we find that the exercise price which minimizes the shortfall of the hedged portfolio is primarily affected by the amount of cash...

In this paper we develop a theoretical model in which a firm hedges a spot position using options in presence of both quantity (production) and basis risk. Our optimal hedge ratio is fairly general, in that the dependence structure is modelled through a copula function representing the quantiles...

We propose an innovative theoretical model to determine the optimal hedge ratio (OHR) with futures contracts as the minimizer of a quantile risk measure. This class of measures is very large and allows to recover the minimum-VaR and the minimum-expected shortfall hedge ratios as special cases....

In this paper we study a risk-minimizing hedge ratio with futures contracts, where the risk of the hedged portfolio is computed using a spectral risk measure, thus incorporating the degree of agent's risk aversion. We empirically estimate the optimal hedge ratio using a long time series of UK...

In this paper we investigate the optimal hedging strategy for a firm using option contracts, where both the role of production (quantity) and basis (proxy) risk are considered. Contrary to the existing literature, we find that the exercise price which minimizes the shortfall of the hedged...