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

共 50 条

[41] A pure-jump mean-reverting short rate model
Hess, Markus
MODERN STOCHASTICS-THEORY AND APPLICATIONS, 2020, 7 (02): : 113 - 134
[42] ASYMPTOTIC APPROXIMATIONS FOR PRICING DERIVATIVES UNDER MEAN-REVERTING PROCESSES
Jordan, Richard
Tier, Charles
INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE, 2016, 19 (05)
[43] ON THE SINGULARITY OF LEAST SQUARES ESTIMATOR FOR MEAN-REVERTING α-STABLE MOTIONS
Hu Yaozhong
Long Hongwei
ACTA MATHEMATICA SCIENTIA, 2009, 29 (03) : 599 - 608
[44] Strategic mean-variance investing under mean-reverting stock returns
Jarner, Søren Fiig
arXiv, 2022,
[45] Asymptotic Optimal Portfolio in Fast Mean-reverting Stochastic Environments
Hu, Ruimeng
2018 IEEE CONFERENCE ON DECISION AND CONTROL (CDC), 2018, : 5771 - 5776
[46] Firm profitability: Mean-reverting or random-walk behavior?
Canarella, Giorgio
Miller, Stephen M.
Nourayi, Mahmoud M.
JOURNAL OF ECONOMICS AND BUSINESS, 2013, 66 : 76 - 97
[47] An empirical estimation for mean-reverting coal prices with long memory
Sun, Qi
Xu, Weijun
Xiao, Weilin
ECONOMIC MODELLING, 2013, 33 : 174 - 181
[48] STOCK-PRICE VOLATILITY, MEAN-REVERTING DIFFUSION, AND NOISE
MERVILLE, LJ
PIEPTEA, DR
JOURNAL OF FINANCIAL ECONOMICS, 1989, 24 (01) : 193 - 214
[49] Dynamic mean-LPM portfolio optimization under the mean-reverting market
Niu, Yiwei
Gao, Jianjun
PROCEEDINGS OF THE 28TH CHINESE CONTROL AND DECISION CONFERENCE (2016 CCDC), 2016, : 1108 - 1113
[50] Optimal reinsurance-investment strategies in a mean-reverting market
Wang, Lei
Gu, Meng-Di
Shanghai Jiaotong Daxue Xuebao/Journal of Shanghai Jiaotong University, 2013, 47 (03): : 438 - 443

← 1 2 3 4 5 →