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A Utility Based Approach to Energy Hedging
Energy Hedging Risk Management Risk Aversion Forecasting
2011/3/31
A key issue in the estimation of energy hedges is the hedgers' attitude towards risk which is encapsulated in the form of the hedgers' utility function. However, the literature typically uses only one...
Hedging: Scaling and the Investor Horizon
Hedging Effectiveness Scaling Volatility Modelling Forecasting
2011/3/31
This paper examines the volatility and covariance dynamics of cash and futures contracts that underlie the Optimal Hedge Ratio (OHR) across different hedging time horizons. We examine whether hedge ra...
Time Varying Risk Aversion: An Application to Energy Hedging
Energy Hedging Risk Management Risk Aversion Forecasting
2011/3/31
Risk aversion is a key element of utility maximizing hedge strategies; however, it has typically been assigned an arbitrary value in the literature. This paper instead applies a GARCH-in-Mean (GARCH-M...