Optimal Dynamic Hedging Using Futures Under a Borrowing Constraint

Optimal Dynamic Hedging via Copula-Threshold-GARCH Models

SSRN Electronic Journal ◽

10.2139/ssrn.1410558 ◽

2009 ◽

Author(s):

YiHao Lai ◽

Cathy W. S. Chen ◽

Richard H. Gerlach

Keyword(s):

Garch Models ◽

Dynamic Hedging ◽

Optimal Dynamic

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Optimal dynamic hedging strategy with futures oil markets via FIEGARCH-EVT copula models

International Journal of Managerial and Financial Accounting ◽

10.1504/ijmfa.2012.044834 ◽

2012 ◽

Vol 4 (1) ◽

pp. 1 ◽

Cited By ~ 2

Author(s):

Ahmed Ghorbel ◽

Abdelwahed Trabelsi

Keyword(s):

Dynamic Hedging ◽

Hedging Strategy ◽

Copula Models ◽

Oil Markets ◽

Optimal Dynamic

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An Application of Optimal Dynamic Hedging in International Asset Allocation

SSRN Electronic Journal ◽

10.2139/ssrn.499362 ◽

2003 ◽

Author(s):

Shohreh Valiani

Keyword(s):

Asset Allocation ◽

Dynamic Hedging ◽

Optimal Dynamic ◽

International Asset Allocation

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Optimal dynamic hedging portfolios and the currency composition of external debt

Journal of International Money and Finance ◽

10.1016/0261-5606(91)90031-e ◽

1991 ◽

Vol 10 (1) ◽

pp. 131-148 ◽

Cited By ~ 37

Author(s):

Kenneth F. Kroner ◽

Stijn Claessens

Keyword(s):

External Debt ◽

Dynamic Hedging ◽

Optimal Dynamic ◽

Currency Composition

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Optimal Dynamic Hedging in Unbiased Futures Markets

American Journal of Agricultural Economics ◽

10.2307/1243774 ◽

1996 ◽

Vol 78 (1) ◽

pp. 13-20 ◽

Cited By ~ 12

Author(s):

Robert J. Myers ◽

Steven D. Hanson

Keyword(s):

Futures Markets ◽

Dynamic Hedging ◽

Optimal Dynamic

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Optimal Dynamic Hedging of Multi-Asset Options

SSRN Electronic Journal ◽

10.2139/ssrn.1358667 ◽

2009 ◽

Cited By ~ 2

Author(s):

Andrea Petrelli ◽

Ram Balachandran ◽

Jun Zhang ◽

Olivia Siu ◽

Rupak Chatterjee ◽

...

Keyword(s):

Dynamic Hedging ◽

Optimal Dynamic

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Optimal Dynamic Hedging of Equity Options: Residual-Risks, Transaction-Costs, & Conditioning

SSRN Electronic Journal ◽

10.2139/ssrn.1530046 ◽

2010 ◽

Cited By ~ 2

Author(s):

Andrea Petrelli ◽

Ram Balachandran ◽

Olivia Siu ◽

Rupak Chatterjee ◽

Zhang Jun ◽

...

Keyword(s):

Transaction Costs ◽

Dynamic Hedging ◽

Equity Options ◽

Optimal Dynamic

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Optimal Dynamic Hedging in Incomplete Futures Markets

Financial Risk and Derivatives ◽

10.1007/978-94-009-1826-9_6 ◽

1996 ◽

pp. 103-122

Author(s):

Abraham Lioui ◽

Pascal Nguyen Duc Trong ◽

Patrice Poncet

Keyword(s):

Futures Markets ◽

Dynamic Hedging ◽

Optimal Dynamic

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Optimal Dynamic Hedging in Commodity Futures Markets with a Stochastic Convenience Yield

SSRN Electronic Journal ◽

10.2139/ssrn.1095482 ◽

2010 ◽

Author(s):

Constantin Mellios ◽

Pierre Six

Keyword(s):

Futures Markets ◽

Commodity Futures ◽

Convenience Yield ◽

Dynamic Hedging ◽

Commodity Futures Markets ◽

Optimal Dynamic ◽

Stochastic Convenience Yield

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DYNAMIC HEDGING OF INFLATION RISK

Annals of Financial Economics ◽

10.1142/s2010495209500031 ◽

2009 ◽

Vol 05 (01) ◽

pp. 0950003

Author(s):

UDO BROLL ◽

STEFAN SCHUBERT

Keyword(s):

Futures Markets ◽

Price Level ◽

Asset Price ◽

Risk Averse ◽

Dynamic Hedging ◽

Hedging Strategy ◽

Inflation Risk ◽

Optimal Dynamic ◽

Futures Price ◽

International Investors

National and international investors are exposed to risk, stemming from volatile asset prices and inflation uncertainty. However investors can enter futures markets to hedge against these risks. The paper develops a dynamic hedging model, where the evolution of asset price, price level and futures price and hence real wealth is stochastic. For a risk averse investor, optimal dynamic consumption and hedging strategy are derived and discussed.

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