FMC² Research Collection [28]

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Can Metropolitan Housing Risk be Diversified? A Cautionary Tale from the Recent Boom and Bust

Cotter, John ; Gabriel, Stuart A. ; Roll, Richard (UCD Geary Institute, 2012-07)

Geographic diversification is fundamental to risk mitigation among investors and insurers of housing, mortgages, and mortgage-related derivatives. To characterize diversification potential, we provide estimates of integration, ...
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 ...
Genetic Programming for the Induction of Seasonal Forecasts: A Study on Weather-derivatives

Agapitos, Alexandros ; O'Neill, Michael ; Brabazon, Anthony (Springer, 2012)

The last ten years has seen the introduction and rapid growth of a market in weather derivatives, financial instruments whose payoffs are determined by the outcome of an underlying weather metric. These instruments allow ...
An Agent-based Modeling Approach to Study Price Impact

Cui, Wei ; Brabazon, Anthony (IEEE Press, 2012-03-29)

Price impact models are important for devising trade execution strategies. However, a proper characterization of price impacts is still lacking. This study models the price impact using an agent-based modeling approach. ...