Since the deregulation of electricity markets in the 1990s, U.S. power grids have witnessed the creation of an increasingly diverse suite of financial instruments designed to mitigate risks caused by underlying generation and consumption patterns. However, the nature of risks is shifting rapidly...

Locational marginal pricing (LMP) provides efficient locational dispatch and investment signals but requires a complementary congestion hedging instrument to function effectively. This paper investigates how exposure to locational price differences is managed in North American nodal electricity...

The literature on derivative pricing in illiquid markets has mostly focused on computing optimal hedging controls, but empirical microstructure studies show that large order flow generates persistent and predictable price effects. Therefore, these controls can themselves induce endogenous market...

This study investigates the safe-haven properties of different asset classes during periods of geopolitical risk in Türkiye and examines their comovement with the Geopolitical Risk Index. The research covers the period from January 2010 to January 2023 and employs wavelet coherence analysis and...

Objective:This study investigates gender differences in risk-taking behaviour, specifically in entrepreneurial decision-making, in line with the Lehman Sisters Hypothesis. The research, motivated by the 2008 Polish currency options crisis, seeks to understand the factors driving risky decisions,...

This article analyzes the predictability of market betas concerning cryptocurrency assets and evaluates the efficiency of beta-hedged, market-neutral portfolios. We forecast 1-year-ahead market betas using various estimating methods, including ordinary least squares (OLS) and Vasicek's Bayesian...

This study investigates an option pricing method called g-pricing based on backward stochastic differential equations combined with deep learning. We adopted a data-driven approach to find a market-appropriate generator of the backward stochastic differential equation, which is achieved by...

This paper examines the dependence, systemic risk spillover, return and volatility spillover, and portfolio implications across various timescales between the Green Bond (GB) and U.S. S&P 500 Stock (SP), Vanguard Total World Stock Index Fund (VT), Bitcoin (BTC), Ethereum (ETH), Ripple, OIL, and...

In this study, we propose a Gram-Charlier expansion approach to investigate the impact of skewness and kurtosis on production and hedging decisions. Consistent with the existing literature, we find that skewness and kurtosis do not affect decisions regarding optimal production; however, they...

We explore to what extent real returns on investment portfolios can be hedged against inflation risk by using existing financial market instruments. We find that inflation-linked bonds offer only limited protection against inflation risk and that nominal debt and stocks play at least comparable...

In this study, we aim to provide a comprehensive analysis of the risk management potential of sectoral Credit Default Swaps (CDSs) within financial portfolios. Our objectives are threefold: (i) to investigate the safe haven properties of sectoral CDSs; (ii) to assess their hedging effectiveness...

This study investigates the heterogeneous responses of Bitcoin (BTC), gold (GOLD), and green bonds (GBOND) to geopolitical risk (GPR) shocks across different market regimes and investment horizons. Using a triadic empirical framework that encompasses wavelet quantile-on-quantile regression...

Comonotonicity (''same variation'') of random variables minimizes hedging possibilities and has been widely used, e.g., in Gilboa and Schmeidler's ambiguity models. This paper investigates anticomonotonicity (''opposite variation''; abbreviated ''AC''), the natural counterpart to comonotonicity....

In this study, we investigate the return propagation mechanism, hedging effectiveness, and portfolio performance across several common agricultural commodities, crude oil, and S&P 500 index, ranging from July 2000 to June 2024 by using a time-varying parameter vector autoregression (TVP-VAR)...

We investigate the impact and propagation of geopolitical risk among oil-based energy commodities. First, we endogenously identify key geopolitical events affecting the connectedness among the oil-based commodities and then evaluate their transitory and persistent impacts. We identify four major...

This scientometric study delves into the integration of clean energy and fintech within investment portfolios, emphasising their role in sustainable development and Environmental, Social, and Governance (ESG) objectives. Through a systematic literature review (SLR) and advanced bibliometric...