financial instruments. We study the currency hedging behaviour of the Danish pension sector and show that it differs with …

In the framework of the industrial economics approach to banking we extend the analysis of hedging against default on … loans to the case of two types of credit risk. Standard results on the optimal hedge volume and the hedging effectivity from …In the framework of the industrial economics approach to banking we extend the analysis of hedging against default on …

consumption and portfolio theory shows that the younger generations should have the higher equity exposure due to their human …

using financial markets and shareholders cannot perfectly monitor the manager's portfolio in order to keep him from hedging … monitoring is costly governance is imperfect. If managerial hedging is detected, shareholders can seize the payoffs of the …) conditional on the firm's performance, the manager's compensation is lower when his portfolio is monitored, even if no hedging is …

In this paper we analyse the mean-variance hedging approach in an incomplete market under the assumption of additional … to no-arbitrage arguments, our set of investment opportunities increases and the set of possible equivalent martingale … measures shrinks. Therefore, we obtain a modified mean-variance hedging problem, which takes into account the observed …

is specified on the basis of a benchmark portfolio. These contracts are closely related to unit--linked life--insurance/savings … plan products and can be considered as alternatives to a direct investment in the underlying benchmark portfolio. The … option embedded into the savings plan is in fact a power option, and thus the specification of the ``fair'' contract …

Taking a portfolio perspective on option pricing and hedging, we show that within the standard Black …) hedging the total risk of each option separately, the correct hedge portfolio in discrete time eliminates linear (delta) as … indefinitely. This ties the literature on option pricing and hedging closer together with the APT literature in its focus on …

implications and cannot substitute each other. We alsoisolate the hedging demands due to macroeconomic and market conditions that …

seldom sufficient and always expensive to hold. In this paper we argue that adding richer hedging instruments to the … point with a simple quantitative hedging model, where optimally used options and futures on the S&P100's implied volatility …

function of both assets. We solve the mean-variance hedging prob- lem completely and prove that the optimal strategy consists … of a modified pure hedge expressible in terms of the obervation process and a Merton-type investment. …