Matches in SemOpenAlex for { <https://semopenalex.org/work/W3122926104> ?p ?o ?g. }
Showing items 1 to 73 of
73
with 100 items per page.
- W3122926104 abstract "This study proposes a utility-based framework for the determination of optimal hedge ratios that can allow for the impact of higher moments on the hedging decision. The approach is applied to a set of 20 commodities that are hedged with futures contracts. We find that in sample, the performance of hedges constructed allowing for non-zero higher moments is only very slightly better than the performance of the much simpler OLS hedge ratio. When implemented out of sample, utility-based hedge ratios are usually less stable over time, and can make investors worse off for some assets compared to hedging using the traditional methods. We conclude, in common with a growing body of very recent literature, by suggesting that higher moments matter in theory but not in practice." @default.
- W3122926104 created "2021-02-01" @default.
- W3122926104 creator A5036335306 @default.
- W3122926104 creator A5049205417 @default.
- W3122926104 creator A5086012799 @default.
- W3122926104 date "2006-11-01" @default.
- W3122926104 modified "2023-09-27" @default.
- W3122926104 title "Optimal Hedging with Higher Moments" @default.
- W3122926104 hasPublicationYear "2006" @default.
- W3122926104 type Work @default.
- W3122926104 sameAs 3122926104 @default.
- W3122926104 citedByCount "1" @default.
- W3122926104 crossrefType "posted-content" @default.
- W3122926104 hasAuthorship W3122926104A5036335306 @default.
- W3122926104 hasAuthorship W3122926104A5049205417 @default.
- W3122926104 hasAuthorship W3122926104A5086012799 @default.
- W3122926104 hasConcept C106159729 @default.
- W3122926104 hasConcept C106306483 @default.
- W3122926104 hasConcept C121332964 @default.
- W3122926104 hasConcept C149782125 @default.
- W3122926104 hasConcept C162118730 @default.
- W3122926104 hasConcept C162324750 @default.
- W3122926104 hasConcept C177264268 @default.
- W3122926104 hasConcept C18903297 @default.
- W3122926104 hasConcept C198531522 @default.
- W3122926104 hasConcept C199360897 @default.
- W3122926104 hasConcept C33923547 @default.
- W3122926104 hasConcept C41008148 @default.
- W3122926104 hasConcept C70771513 @default.
- W3122926104 hasConcept C86803240 @default.
- W3122926104 hasConcept C97355855 @default.
- W3122926104 hasConceptScore W3122926104C106159729 @default.
- W3122926104 hasConceptScore W3122926104C106306483 @default.
- W3122926104 hasConceptScore W3122926104C121332964 @default.
- W3122926104 hasConceptScore W3122926104C149782125 @default.
- W3122926104 hasConceptScore W3122926104C162118730 @default.
- W3122926104 hasConceptScore W3122926104C162324750 @default.
- W3122926104 hasConceptScore W3122926104C177264268 @default.
- W3122926104 hasConceptScore W3122926104C18903297 @default.
- W3122926104 hasConceptScore W3122926104C198531522 @default.
- W3122926104 hasConceptScore W3122926104C199360897 @default.
- W3122926104 hasConceptScore W3122926104C33923547 @default.
- W3122926104 hasConceptScore W3122926104C41008148 @default.
- W3122926104 hasConceptScore W3122926104C70771513 @default.
- W3122926104 hasConceptScore W3122926104C86803240 @default.
- W3122926104 hasConceptScore W3122926104C97355855 @default.
- W3122926104 hasLocation W31229261041 @default.
- W3122926104 hasOpenAccess W3122926104 @default.
- W3122926104 hasPrimaryLocation W31229261041 @default.
- W3122926104 hasRelatedWork W1519064909 @default.
- W3122926104 hasRelatedWork W1615438624 @default.
- W3122926104 hasRelatedWork W2006465234 @default.
- W3122926104 hasRelatedWork W2123735067 @default.
- W3122926104 hasRelatedWork W2128363841 @default.
- W3122926104 hasRelatedWork W2155585950 @default.
- W3122926104 hasRelatedWork W2162628773 @default.
- W3122926104 hasRelatedWork W2218074103 @default.
- W3122926104 hasRelatedWork W2235421075 @default.
- W3122926104 hasRelatedWork W2344741199 @default.
- W3122926104 hasRelatedWork W2583124534 @default.
- W3122926104 hasRelatedWork W2895449038 @default.
- W3122926104 hasRelatedWork W2953189771 @default.
- W3122926104 hasRelatedWork W3121516915 @default.
- W3122926104 hasRelatedWork W3123471884 @default.
- W3122926104 hasRelatedWork W3124378064 @default.
- W3122926104 hasRelatedWork W3125540642 @default.
- W3122926104 hasRelatedWork W3136797749 @default.
- W3122926104 hasRelatedWork W3194588975 @default.
- W3122926104 hasRelatedWork W348986038 @default.
- W3122926104 isParatext "false" @default.
- W3122926104 isRetracted "false" @default.
- W3122926104 magId "3122926104" @default.
- W3122926104 workType "article" @default.