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- W2385889529 abstract "This paper considers a problem with objective function of minimal risk at the target term of investment.Using a tractable auxiliary problem,we transform the inseparable multi-period hedge problem into a separable problem which can be solved by dynamic programming.As a result,we deduce the analytical expressions of multi-period hedge portfolio policy,the efficient frontier,as well as the best hedge ratio each period and hedging efficiency at expiration date.Finally,an empirical research is made in the gold market,it proves that,compared with the traditional mothed,our mothed can boost hedging effectiveness,especially when two capital's correlation declines." @default.
- W2385889529 created "2016-06-24" @default.
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- W2385889529 date "2010-01-01" @default.
- W2385889529 modified "2023-09-24" @default.
- W2385889529 title "M-V Multi-period Hedging Model with Budget Restriction and Its Algorithm Research" @default.
- W2385889529 hasPublicationYear "2010" @default.
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