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Browsing by Subject "Hedging (Finance)"
Now showing items 1-10 of 10
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(University College Dublin. School of Business, 2007)Uncertain times mean significant movements in asset prices from oil to equities. Current research by the Centre for Financial Markets, UCD School of Business may offer help to businesses in formulating more effective ...
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(UCD Geary Institute, 2012)This paper examines the impact of investor preferences on the optimal futures hedging strategy and associated hedging performance. Explicit risk aversion levels are often overlooked in hedging analysis. Applying a ...
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(Fintel, 2007-04)Asset prices can be prone to large movements, and this year we have seen this in equity prices and commodity prices, including oil. Recent volatility of around 2 per cent per day in oil prices has led to uncertainty for ...
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(University College Dublin Geary Institute, 2012-08)In this paper, we explore the impact of investor time-horizon on an optimal downside hedged energy portfolio. Previous studies have shown that minimum-variance hedging effectiveness improves for longer horizons using variance ...
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(Palgrave Macmillan, 2010-01)The benefits of openness to trade are well established, but the disadvantages of openness are less well understood. At the firm level trade is the principal source of exposure to exchange rate movements, and exchange ...
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(Emerald, 2012)We examine whether the hedging effectiveness of crude oil futures is affected by asymmetry in the return distribution by applying tail specific metrics to compare the hedging effectiveness of both short and long hedgers. ...
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(University College Dublin. School of Business. Centre for Financial MarketsUniversity College Dublin. Geary Institute, 2009-08)Risk aversion is a key element of utility maximizing hedge strategies; however, it has typically been assigned an arbitrary value in the literature. This paper instead applies a GARCH-in-Mean (GARCH-M) model to estimate ...
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(2009)Risk aversion is a key element of utility maximizing hedge strategies; however, it has typically been assigned an arbitrary value in the literature. This paper instead applies a GARCH-in-Mean (GARCH-M) model to estimate a ...
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(Elsevier, 2010-03)Risk aversion is a key element of utility maximizing hedge strategies; however, it has typically been assigned an arbitrary value in the literature. This paper instead applies a GARCH-in-Mean (GARCH-M) model to estimate ...
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(Elsevier, 2011-07-27)A key issue in the estimation of energy hedges is the hedgers’ attitude towards risk which is encapsulated in the form of the hedgers’ utility function. However, the literature typically uses only one form of utility ...
Now showing items 1-10 of 10