Browsing School of Business by Subject "Hedging horizon"

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Commodity Futures Hedging, Risk Aversion and the Hedging Horizon

Conlon, Thomas ; Gençay, Ramazan ; Cotter, John (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 ...
Downside Risk and the Energy Hedger’s Horizon

Conlon, Thomas ; Cotter, John (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 ...