Optimal hedging ratio modeling using interday and intraday risk estimation: Moving window regression vs. cointegration approach

2016 ◽  
Vol 11 (1) ◽  
pp. 59-70
Author(s):  
Henry Penikas ◽  
Igor Sirotkin
Keyword(s):  
Risk Estimation ◽  
Moving Window ◽  
Optimal Hedging ◽  
Hedging Ratio

scholarly journals Forward hedging under price and production risk of wheat

2008 ◽  
Vol 14 (2) ◽  
pp. 123 ◽  
Author(s):  
X. LIU ◽  
K. PIETOLA
Keyword(s):  
Absolute Risk ◽  
Price Volatility ◽  
Point Estimate ◽  
Experiment Data ◽  
Production Risk ◽  
Put Options ◽  
Conditional Mean ◽  
Optimal Hedging ◽  
Hedging Ratio ◽  
Forward Contract

This paper estimates optimal hedging ratios for a Finnish spring wheat producer under price and yield uncertainty. The contract available for hedging fixes the price and quantity at the time of sowing for a delivery at harvest. Autoregressive models are used to obtain point forecasts for the conditional mean price and price volatility at harvest. Expected yield and yield volatility are estimated from the field experiment data. A range of coefficients of absolute risk aversion are used in the computations. The results suggest that yield volatility is large and it dominates the price volatility in the optimal hedging decisions of the Finnish wheat producers. The point estimate for the price and yield correlation is negative and has a large magnitude. Thus, a negative correlation between the price and the yield, as signalled by the point estimate, will decrease the optimal hedging ratio since the Finnish farmers do not have access to selling put options when they enter in a forward contract.;

Calendar Spread Hedging Mechanism for Mining Companies

2021 ◽  
pp. 1-12
Author(s):  
Andrey Mishin ◽  
Polina Kisarina
Keyword(s):  
Risk Estimation ◽  
Intelligent Manufacturing ◽  
Estimation Model ◽  
Mining Companies ◽  
Hedging Ratio ◽  
Current Production ◽  
Future Income ◽  
Current Value ◽  
Manufacturing Technologies ◽  
A Company

This chapter attempts to answer the question of how much of its current production a mining company should hedge by forward selling by using a model that allows a company to determine the optimal (profit-maximising) hedge. The risk estimation model of company failure is based on the forward price of metals; the miner's operating costs is based on quantitative approach for mining companies. The chapter considers the transition to advanced digital, intelligent manufacturing technologies, robotic systems, the creation of systems for processing large amounts of data, machine learning, and artificial intelligence. The model calculates the present value of future income distributed as dividends in order to determine the value of the company from the perspective of the owner or investor, a multiple of the current value of the product. By simulating the work of several companies working with different levels of forward, it is possible to determine the relative profitability and survival in the market that allows one to determine the optimal hedging ratio.

Optimal Hedging Ratio Model with Skewness

2009 ◽  
Vol 29 (9) ◽  
pp. 1-6 ◽  
Author(s):  
Long-bin ZHANG ◽  
Chun-feng WANG ◽  
Zhen-ming FANG
Keyword(s):  
Ratio Model ◽  
Optimal Hedging ◽  
Hedging Ratio

An Outlier-Resistant Approach to Risk Estimation

1994 ◽  
Vol 50 (5) ◽  
pp. 69-75 ◽  
Author(s):  
Sangit Chatterjee ◽  
William E. Jacques
Keyword(s):  
Risk Estimation
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