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Traditional finance teaching on derivatives suggests that they can be utilized to reduce portfolio and market risk. Such outcome hinges on the assumption that derivatives are used as risk management tools and there is at least one true hedger in the transaction. In the absence of hedgers,...
Persistent link: https://www.econbiz.de/10013138120
Regardless of the distributions of spot and futures returns, the hedge ratio determined by minimizing the portfolio's Aumann and Serrano (2008) index of riskiness is always smaller than the hedge ratio determined by minimizing the portfolio's variance. It is also demonstrated that the Foster and...
Persistent link: https://www.econbiz.de/10012972878
This paper analyzes the optimal production and hedging decisions of a competitive firm holding optimism and pessimism under price ambiguity. We show that the separation theorem remains intact as the firm's optimal output level depends neither on the output price distribution nor on the firm's...
Persistent link: https://www.econbiz.de/10012972918
Our study examines the impact of multiple uncertainty measurements on Bitcoin returns and volatilities by using TVP-VAR-DY connectedness frame work. We find that the total spillover effects are strong during the Crypriot financial crisis (2012-2013) and COVID-19 (2020). Further, Both averaged...
Persistent link: https://www.econbiz.de/10014352898
Dynamic correlation models demonstrate that the relationship between interest rates and housing prices is non-constant. Estimates reveal statistically significant time fluctuations in correlations between housing price indexes and Treasury bonds, the S&P 500 Index, and stock prices of...
Persistent link: https://www.econbiz.de/10014190269