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 ...
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 ...
This paper investigates the hedging effectiveness of a dynamic moving window OLS hedging model, formed
using wavelet decomposed time-series. The wavelet transform is applied to calculate the appropriate dynamic
minimum-variance ...
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