Mean-variance hedging with oil futures
Author:
Publisher
Springer Science and Business Media LLC
Subject
Statistics, Probability and Uncertainty,Finance,Statistics and Probability
Link
http://link.springer.com/content/pdf/10.1007/s00780-013-0203-x.pdf
Reference24 articles.
1. Bertus, M., Godbey, J., Hilliard, J.: Minimum variance cross hedging under mean-reverting spreads, stochastic convenience yields, and jumps: application to the airline industry. J. Futures Mark. 29, 736–756 (2009)
2. Caldentey, R., Haugh, M.: Optimal control and hedging of operations in the presence of financial markets. Math. Oper. Res. 31, 285–304 (2006)
3. Carmona, R., Ludkovski, M.: Spot convenience yield models for the energy markets. In: Yin, G., Zhang, Q. (eds.) Mathematics of Finance, vol. 351, pp. 65–80. AMS, Providence (2004)
4. Chen, S.-S., Lee, C.-f., Shrestha, K.: Futures hedge ratios: a review. Q. Rev. Econ. Finance 43, 433–465 (2003)
5. Černý, A., Kallsen, J.: On the structure of general mean-variance hedging strategies. Ann. Probab. 35, 1479–1531 (2007)
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