This paper proposes a new approach to estimating the minimum variance hedge ratio (MVHR) based on the wild bootstrap and evaluates the approach using a spectrum of conservative to aggressive alternative hedging strategies associated with the percenti...
Hedging downside risk before substantial price corrections is vital for risk management and long-only active equity manager performance. This study proposes a novel methodology for crafting timing signals to hedge sectors’ downside risk. These...
In this research, we develop a guaranteed option hedge system to protect against capital market risks using a genetic algorithm (GA). We test the hedge effectiveness of our guaranteed option hedge strategy by comparing the performance of our system w...
Vietnam has experienced galloping inflation and faced serious dollarization since its reform. To effectively control inflation for promoting price stability, it is necessary to find efficacious leading indicators and a hedging mechanism. Using monthl...
This article seeks to initiate research into traditional rural hedging techniques, hedge types, and hedgerow networks for the purpose of their potential adaptation as urban green systems (UGS). The research involves three scales: (1) the plant scale...
This paper proposes new dynamic conditional futures hedge ratios and compares their hedging performances along with those of common benchmark hedge ratios across three broad asset classes. Three of the hedge ratios are based on the upward-biased carr...
The hedge fund (HF) industry is known to be one of the most unequal professional fields when it comes to gender. This study quantifies and confirms this severe gender gap, which appears to be persistent or even widening in recent years. We assess whe...
The objective of this research is to evaluate the influence on hedging decisions of a realistic set of transaction costs which are largely stochastic. The stochastic nature of some transaction costs (such as margin calls) means that their exact value...
The research investigates the safe-haven, hedging, and diversification function of crude oil for conventional currencies, among which five are major oil exporters, and six are major oil importers. In order to model time-varying dynamic correlations b...
In the dynamic sphere of financial markets, hedge funds have emerged as a critical force, navigating through volatility with advanced risk management techniques yet grappling with the challenges posed by illiquid assets. This study aims to transcend...
The performance of hedge funds is of interest to investors looking for ways of generating value over passive strategies, particularly in bad times. This study used the Hedge Index database with over 9500 hedge funds to analyse, in depth, the performa...
This paper tests whether the traditional futures hedge ratio (hT) and the carry cost rate futures hedge ratio (hc) vary in accordance with the Sercu and Wu (2000) and Leistikow et al. (2019) “hc” theory. It does so, both within and across...
We solve the problem of optimal risk management for an investor holding an illiquid, alpha-generating fund and hedging his/her position with a liquid futures contract. When the investor is subject to a lower bound on net return, he/she is forced to r...
This paper explores the use of neural networks to reduce the computational cost of pricing and hedging variable annuity guarantees. Pricing these guarantees can take a considerable amount of time because of the large number of Monte Carlo simulations...
This study points out a new explanation of the non-trading effect of financial derivatives from the perspective of hedging demand. We examine the influence of hedging demand on the non-trading effect of TAIEX (Taiwan Stock Exchange Capitalization Wei...
This paper examines the dynamic relationships between gold and stock markets in China. Using daily gold and stock indexes data, we estimated the DCC-GARCH model for the five bear markets since 31 October 2002, and simultaneously used different segmen...
This paper investigates the nature of volatility spillovers between stock returns and hedge funds returns in twelve Asia Pacific countries in the 1997–2018 period. The sample period encompasses sub periods, 1997 Asia financial crisis, 2008 Global fin...
We construct a novel hand-collected large dataset of 205 U.S. hedge funds and 1025 activist events over the period 2005–2013, which records both the Schedule 13D filing date and the voice date, and explore the role of voice in value creation. W...
This study aims at examining whether hedging emerging Eastern Europe stock markets with commodities sectors can help in reducing market risks and whether it has the same effectiveness among different sectors. As an attempt to achieve this goal, we op...
Recently, the identification of inertia and damping matrices (IIDM) and safety issues, as well as natural cooperation, are interestingly considered to enhance the quality of the physical human–robot interaction (pHRI). To cover all of these issues, a...
This paper introduces a unique perspective towards Bitcoin safe haven and hedge properties through the Bitcoin halving cycle. The Bitcoin halving cycle suggests that Bitcoin price movement follows specific sequences, and Bitcoin price movement is ind...
We study whether gold acts as a hedge or a safe haven in U.S. and the Indian stock markets. These two stock markets have been chosen as representatives of the developed markets and the emerging markets, respectively, and are of significant interest t...
Using the GARCH model and quantile regression with dummy variables, we investigate the hedging and safe haven properties of carbon futures and clean energy stocks against the U.S. climate policy uncertainty (CPU). We discover that carbon futures and...
In this paper, we present the results of nonlinearity detection in Hedge Fund price returns. The main challenge is induced by the small length of the time series, since the return of this kind of asset is updated once a month. As usual, the nonlinear...
Since the future output of wind power generation is uncertain due to weather conditions, there is an increasing need to manage the risks associated with wind power businesses, which have been increasingly implemented in recent years. This study intro...
Our study collected and synthetized the existing knowledge on portfolio diversification, hedge, and safe-haven properties in cryptocurrency investments. We sampled 146 studies published in journals ranked in the Association of Business Schools 2021 j...
We define a dynamic and self-adjusting mixture of Gaussian Graphical Models to cluster financial returns, and provide a new method for extraction of nonparametric estimates of dynamic alphas (excess return) and betas (to a choice set of explanatory f...
This study analyzes whether Bitcoin, gold, oil, and stock have the ability to hedge against inflation in high cryptocurrency adoption countries in the periods from January 2010 to March 2021. It is hypothesized that the assets behave differently and...
Economic policy uncertainty and particularly COVID-19 has stimulated the need to investigate alternative avenues for policy risk management. In this context, this study examines the dynamic association among economic policy uncertainty, green bonds,...
Hedge algebra is a powerful and flexible tool for handling linguistic information, enabling precise quantitative computations and enhancing the effectiveness of multi-criteria decision-making (MCDM). This study proposes a novel integrated fuzzy MCDM...
In this study, we aim to provide a comprehensive analysis of the risk management potential of sectoral Credit Default Swaps (CDSs) within financial portfolios. Our objectives are threefold: (i) to investigate the safe haven properties of sectoral CDS...
Residential demand response (DR) programs are generally administered through an electricity distribution utility, or an electric grid operator. These programs typically reduce electricity consumption by inducing behavioral changes in the occupants of...
We extend the analysis on hedging with price and output uncertainty by endogenizing the output decision. Specifically, we consider the joint determination of output and hedging in the case of flexibility in production. We show that the risk-averse fi...
Human behaviour demonstrates environmental awareness and self-awareness which is used to arrive at decisions and actions or reach conclusions based on reasoning and inference. Environmental awareness and self-awareness are traits which autonomous rob...
Robotics is a highly developed field in industry, and there is a large research effort in terms of humanoid robotics, including the development of multi-functional empathetic robots as human companions. An important function of a robot is to find an...
This paper investigates the use of reinforcement learning (RL) algorithms to learn adaptive hedging strategies for derivatives under realistic market conditions, incorporating permanent market impact, execution slippage, and transaction costs. Market...
In a previously published study, to optimize the vibrating and comb-brushing harvesting, the main factors and their parameter values were obtained based on the FEM and RSM. However, the study was based on the extensive cultivation mode which need to...
This paper examines a simple basis risk model based on correlated geometric Brownian motions. We apply quadratic criteria to minimize basis risk and hedge in an optimal manner. Initially, we derive the Föllmer–Schweizer decomposition for a European c...
Hedge bindweed (Calystegia sepium L.) is a widespread troublesome perennial weed species that has strong rhizome regenerative capacity. Four pot trials with randomised, complete block designs were conducted in 2015 to evaluate long-term control of he...
This study investigates optimal hedge ratios in all base metal markets. Using recent hedging computation techniques, we find that 1) the short-run optimal hedging ratio is increasing in hedging horizon, 2) that the long-term horizon limit to the opti...
This paper considers the multiperiod hedging decision in a framework of mean-reverting spot prices and unbiased futures markets. The task is to determine the optimal hedging path, i.e., the sequence of positions in futures contracts with the objectiv...
In this study, we attempt to identify the asset which has the best hedging characteristics against inflation. We study stock, bond, commodity, real estate and oil indexes. We also study these indexes tracking exchange traded funds (ETFs) to determine...
This paper explores risk management strategies for investments in Nonfungible Token (NFT) coins through their diversification within the S&P 500 industry sectors. Given the significant decline in NFT coin values in 2022, understanding these strat...
On the condition that both futures and options exist in the markets for hedging, this paper examines the optimal hedging strategy under price risk and background risk. Compared with the previous research, which has studied options hedging against bas...
Energy is considered as a commodity nowadays and continuous access along with price stability is of vital importance for every economic agent worldwide. The aim of the current review paper is to present in detail the two dominant hedging strategies r...
Hedging down-and-out puts (and up-and-out calls), where the maximum payoff is reached just before a barrier is hit that would render the claim worthless afterwards, is challenging. All hedging methods potentially lead to large errors when the underly...
Although the finance literature has devoted a lot of research into the development of advanced models for improving the pricing and hedging performance, there has been much less emphasis on approaches to measure dynamic hedging effectiveness. This ar...
We explore optimal hedge ratios and hedging effectiveness for the German electricity market. Given the increasing attention that wavelets received in the financial market, we concentrate on the investigation of the relationship, covariance/coherence...
Dynamic multi-criteria group decision-making (MCGDM) is widely applied in complex real-world settings where multiple experts evaluate alternatives across diverse criteria under uncertain and evolving conditions. This study proposes a transparent and...
The possibility to use hedging strategies is an often neglected aspect in the literature on prediction/betting markets, as most papers assume that bettors will bet according to their beliefs about the probability of the outcome of the event, as oppos...
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