Browsing Financial Mathematics Computation Cluster by Subject "Energy"

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Time varying risk aversion : an application to energy hedging

Cotter, John ; Hanly, Jim (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 ...
A utility based approach to energy hedging

Cotter, John ; Hanly, Jim (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 ...