On the computation of hedging strategies in affine GARCH models
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DOI: 10.1002/fut.22187
Abstract: This paper discusses the computation of hedging strategies under affine Gaussian GARCH dynamics. The risk-minimization hedging strategy is derived in closed-form and related to minimum variance delta hedging. Several numerical experiments are conducted to investigate… read more here.
Keywords: garch; hedging strategies; strategies affine; computation hedging ... See more keywords
Hedging Strategies of the Middle Powers in East Asian Security: the Cases of South Korea and Malaysia
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DOI: 10.1007/s12140-016-9264-8
Abstract: Many middle powers in East Asia—particularly South Korea and Malaysia—are affected by the strategic relationship between the USA (hereafter the USA) and China. Therefore, I would like to examine the strategic behaviors of the middle… read more here.
Keywords: middle powers; south korea; korea malaysia; powers east ... See more keywords
Hedging strategies for European contingent claims with the minimum shortfall risk criterion
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DOI: 10.1080/09720502.2017.1355510
Abstract: Abstract This paper studied the optimal self-financing hedging strategies under the minimum shortfall risk criterion. By virtue of the Monte Carlo simulation, thousands of the underlying asset’s price paths are generated and the expected shortfall… read more here.
Keywords: risk; minimum shortfall; hedging strategies; risk criterion ... See more keywords
Ecological niche and bet-hedging strategies for Triodia (R.Br.) seed germination
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DOI: 10.1093/aob/mcx158
Abstract: Background and Aims Regeneration dynamics in many arid zone grass species are regulated by innate seed dormancy mechanisms and environmental cues (temperature, moisture and fire) that result in infrequent germination following rainfall. This study investigated… read more here.
Keywords: seed; bet hedging; dormancy; germination ... See more keywords
Forecasting Bitcoin Futures: A Lasso-BMA Two-Step Predictor Selection for Investment and Hedging Strategies
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DOI: 10.1177/21582440231151652
Abstract: After Bitcoin futures were introduced by the Chicago Mercantile Exchange in December 2017, their trading volume has stayed in an uptrend due to speculation, though the scale is still small compared to other traditional futures.… read more here.
Keywords: investment hedging; two step; bitcoin futures; bitcoin ... See more keywords