Optimal futures heading: quadratic versus exponential utility functions
Article Abstract:
Quadratic and exponential utility functions produce different optimal futures hedging directions. The deviation between the optimal production level and the optimal futures position is smaller under the exponential utility function.
Publisher: John Wiley & Sons, Inc.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2008
Science & research, Research, Hedging (Finance), Futures, Utility theory, Utility functions, Functions, Exponential, Exponential functions, Quadratic functions, Report
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2008
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Spot-futures spread, time-varying correlation, and hedging with currency futures
Article Abstract:
Generalized autoregressive conditional heteroskedasticity method is used to find out asymmetric impacts of spot-future spread on currency market's return and risk structure.
Publisher: John Wiley & Sons, Inc.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2006
Australia, Forecasts, trends, outlooks, Analysis, Evaluation, Forecasts and trends, Market trend/market analysis, Spot market, Autoregression (Statistics), Foreign exchange futures
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2006
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Subjects list: Models, United States
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