Performance of utility-based strategies for hedging basis risk
نویسندگان
چکیده
منابع مشابه
Performance of utility-based strategies for hedging basis risk
The performance of optimal strategies for hedging a claim on a nontraded asset is analyzed. The claim is valued and hedged in a utility maximization framework, using exponential utility. A traded asset, correlated with that underlying the claim, is used for hedging, with the correlation typically close to 1. Using a distortion method [22] we derive a nonlinear expectation representation for the...
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ژورنال
عنوان ژورنال: Quantitative Finance
سال: 2004
ISSN: 1469-7688,1469-7696
DOI: 10.1088/1469-7688/4/3/001