established that the gasoline supply in the United States (U.S.) must contain 10% ethanol. This work seeks to identify hedging … ratios using dynamic multivariate GARCH to best identify hedging opportunities in a newly developed futures market. The … ability for firms to hedge and regulators to supervise the ethanol futures market is crucial to both hedging potential losses …

This paper examines the effectiveness of using futures contracts as hedging instruments of: (1) alternative models of … volatility for estimating conditional variances and covariances; (2) alternative currencies; and (3) alternative maturities of …, Euro, British pound and Japanese yen, against the American dollar, are used to analyze hedge ratios and hedging …

The paper examines the performance of four multivariate volatility models, namely CCC, VARMA-GARCH, DCC and BEKK, for … the optimal portfolio weights of all multivariate volatility models for Brent suggest holding futures in larger … volatility model give the time-varying hedge ratios, and recommend to short in crude oil futures with a high proportion of one …

Aim/purpose - In this paper, a market volatility-robust portfolio composition framework under the modified Markowitz … financial instruments formulation procedure at an increased market volatility. Design/methodology/approach - In order to … two states, i.e., quiescent (non-crisis; low market volatility) periods that are occasionally interspersed with stress …

We solve the problems of mean-variance hedging (MVH) and mean-variance portfolio selection (MVPS) under restricted …

We solve the problem of mean-variance hedging for general semimartingale models via stochastic control methods. After … be used to describe the optimal trading strategy for each conditional mean-variance hedging problem. For comparison with …. mean-variance hedging ; stochastic control ; backward stochastic differential equations ; semimartingales ; mathematical …

. Utility theory provides a rich framework for decision-making under uncertainty and features preferences specified via a range …