Hedging time-varying downside risk

Article Abstract:

A time-invariant lower partial movement (LPM) hedge ratio is not applicable with the futures hedge ratio in downside risk reduction. Moreover, a major diversion appears when the target return is small or negative and the order of the LPM is large compared to the minimum variance hedge ratio. These corresponds to a greater risk aversion toward large losses. Furthermore, these examples typify the importance of the differentiation between the usual two-sided risk and the downside risk.

Asset & Risk Management

---

Hedging downside risk under asymmetic taxation

Article Abstract:

The transfer of risk through hedging is a main function of the futures market. A short futures position and a long spot position are matched against each other for the reduction of risk.

Futures market, Futures markets

---

Production and hedging under Knightian uncertainty

Article Abstract:

A model for futures hedging using Knightian uncertainty is presented. Under this model inertia is the prevailing behavior.

Commodities industry, Uncertainty (Information theory)

Similar abstracts:

• Abstracts: Trucking & transport leasing. Trucking and transport leasing industry
• Abstracts: Thinking small brings big returns. Gearing up puts a firm in the overtaking lane. Pitcher, the breakaway that just keeps growing
• Abstracts: Land tax stirs up storm over harborside homes. Enterprising investors face an unsuspected tax trap. GST law change will close fringe-benefits loophole
• Abstracts: Banking on knowledge and service. Virgin prepares for mobilisation
• Abstracts: Review your salary package; health insurance, superannuation and fringe benefits tax will be among the biggest concerns for executives

This website is not affiliated with document authors or copyright owners. This page is provided for informational purposes only. Unintentional errors are possible.