Hedging mean-reverting commodities

被引：8

作者：

Broll, Udo ^{[1
]}

Clark, Ephraim ^{[2
,3
]}

Lukas, Elmar ^{[4
]}

机构：

[1] Tech Univ Dresden, Dept Business Management & Econ, D-01062 Dresden, Germany

[2] Univ Lille Nord France, Lille Sch Finance, F-59777 Euralille, France

[3] Middlesex Univ, London NW4 4BT, England

[4] Univ Gesamthsch Paderborn, Dept Econ, D-33098 Paderborn, Germany

来源：

IMA JOURNAL OF MANAGEMENT MATHEMATICS | 2010年 / 21卷 / 01期

关键词：

commodity price risk; hedging; mean reverting; FOREIGN-CURRENCY DERIVATIVES; TERM STRUCTURE; FIRMS HEDGE; RISK; PREFERENCES; EXPOSURE; PRICES; MARKET;

D O I：

10.1093/imaman/dpp013

中图分类号：

C93 [管理学];

学科分类号：

12 ; 1201 ; 1202 ; 120202 ;

摘要：

This paper uses the expected utility framework to examine the optimal hedging decision for commodities with mean-reverting price processes. The derived results show that when commodity prices follow a mean-reverting process, the optimal hedge ratio differs significantly from the classical results found under standard geometric Brownian motion. Hence, a failure to accommodate mean reversion when it exists can lead to systematic biases in hedging decisions.

引用

页码：19 / 26

页数：8

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