Electricity market : how to design an optimal hedging strategy using spot and futures markets for an industrial consumer?
Here is the problem : we should adopt the point of view of an industrial company which purchases electricity as an input in its production line and which wants to achieve the following two goals : ...
In order to find the minimum variance hedge ratio when holding a portfolio of vanilla call options and hedging with stock, you can do an OLS regression. In a binomial model framework, given ...
When reading a paper by DeMiguel and Nogales (2007; http://papers.ssrn.com/sol3/papers.cfm?abstract_id=911596), I came across the following formulation: Comparing the proposed minimum-risk ...
I am writing a white paper in which I am trying to compare a strategy to different well-known - and classic - asset allocation optimization approaches. One of the methods I chose is the minimum ...