Optimal hedging under nonlinear borrowing cost, progressive tax rates, and liquidity constraints

Article Abstract:

A new model for hedging based on risk, prices, taxes and other factors is presented. Bankruptcy costs and progressive taxation are two motivating factors for hedging.

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Estimating time-varying optimal hedge ratios on futures markets

Article Abstract:

A model for a hedge ratio and a cash position on the futures market is discussed. There are two approaches which for the development of this ratio.

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Hedge effectiveness: basis risk and minimum-variance hedging

Article Abstract:

A model for hedging and risk-taking in the futures market is developed and discussed. Portfolio theory has provided the prevailing view of hedging since the 1960's.

Risk management

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