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- W2058974793 abstract "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 objective of minimizing the variance of an uncertain future cash flow. The model is used to illustrate both hedging using a matchedmaturity futures contract and hedging by rolling over a series of nearby futures contracts. In each case, the paper derives the conditions under which a single period (myopic) strategy would be optimal as opposed to a dynamic multiperiod strategy. The results suggest that greater the market power of the hedging entity, closer the optimal strategy is to a myopic hedge. The paper also highlights the difference in the optimal hedging path when hedging is based on matched-maturity as opposed to nearby contracts." @default.
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- W2058974793 date "2011-12-31" @default.
- W2058974793 modified "2023-09-27" @default.
- W2058974793 title "Multiperiod Hedging using Futures: Mean Reversion and the Optimal Hedging Path" @default.
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- W2058974793 doi "https://doi.org/10.3390/jrfm4010133" @default.
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