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- W2007666511 abstract "This paper considers the hedging problem of a portfolio composed of raw materials and a commodity. A new theoretical model is presented to manage the risk exposure of the portfolio under the mark-to-market risk. Moreover, we employ the Lemke algorithm to obtain the optimal hedging strategy. We use a case of the soybean oil manufacturer from May 2008 to June 2011 to illustrate the proposed model and algorithm. The results show that the mark-to-market risk must be taken into account when devising the hedging strategies." @default.
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- W2007666511 date "2012-07-01" @default.
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- W2007666511 title "Hedging the portfolio of raw materials and the commodity under the mark-to-market risk" @default.
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- W2007666511 doi "https://doi.org/10.1016/j.econmod.2012.03.025" @default.
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