Hedging mean-reverting commodities

被引：8

作者：

Broll, Udo ^{[1
]}

Clark, Ephraim ^{[2
,3
]}

Lukas, Elmar ^{[4
]}

机构：

[1] Tech Univ Dresden, Dept Business Management & Econ, D-01062 Dresden, Germany

[2] Univ Lille Nord France, Lille Sch Finance, F-59777 Euralille, France

[3] Middlesex Univ, London NW4 4BT, England

[4] Univ Gesamthsch Paderborn, Dept Econ, D-33098 Paderborn, Germany

来源：

IMA JOURNAL OF MANAGEMENT MATHEMATICS | 2010年 / 21卷 / 01期

关键词：

commodity price risk; hedging; mean reverting; FOREIGN-CURRENCY DERIVATIVES; TERM STRUCTURE; FIRMS HEDGE; RISK; PREFERENCES; EXPOSURE; PRICES; MARKET;

D O I：

10.1093/imaman/dpp013

中图分类号：

C93 [管理学];

学科分类号：

12 ; 1201 ; 1202 ; 120202 ;

摘要：

This paper uses the expected utility framework to examine the optimal hedging decision for commodities with mean-reverting price processes. The derived results show that when commodity prices follow a mean-reverting process, the optimal hedge ratio differs significantly from the classical results found under standard geometric Brownian motion. Hence, a failure to accommodate mean reversion when it exists can lead to systematic biases in hedging decisions.

引用

页码：19 / 26

页数：8

共 50 条

[1] Hedging mean-reverting commodities
Broll, Udo
Clark, Ephraim
Lukas, Elmar
IMA Journal Management Mathematics, 2010, 21 (01): : 19 - 26
[2] A Convenience Yield Approximation Model for Mean-Reverting Commodities
Dockner, Engelbert J.
Eksi, Zehra
Rammerstorfer, Margarethe
JOURNAL OF FUTURES MARKETS, 2015, 35 (07) : 625 - 654
[3] A GENERALIZED MEAN-REVERTING EQUATION AND APPLICATIONS
Marie, Nicolas
ESAIM-PROBABILITY AND STATISTICS, 2014, 18 : 799 - 828
[4] Optimal Control of a Mean-Reverting Inventory
Cadenillas, Abel
Lakner, Peter
Pinedo, Michael
OPERATIONS RESEARCH, 2010, 58 (06) : 1697 - 1710
[5] Are stock returns still mean-reverting?
Mukherji, Sandip
REVIEW OF FINANCIAL ECONOMICS, 2011, 20 (01) : 22 - 27
[6] Intrinsic bubbles and mean-reverting fundamentals
Sutherland, A
JOURNAL OF MONETARY ECONOMICS, 1996, 37 (01) : 163 - 173
[7] ENVIRONMENTAL VARIABILITY AND MEAN-REVERTING PROCESSES
Allen, Edward
DISCRETE AND CONTINUOUS DYNAMICAL SYSTEMS-SERIES B, 2016, 21 (07): : 2073 - 2089
[8] Mean-Reverting Portfolio With Budget Constraint
Zhao, Ziping
Palomar, Daniel P.
IEEE TRANSACTIONS ON SIGNAL PROCESSING, 2018, 66 (09) : 2342 - 2357
[9] A mean-reverting SDE on correlation matrices
Ahdida, Abdelkoddousse
Alfonsi, Aurelien
STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2013, 123 (04) : 1472 - 1520
[10] Filtering for fast mean-reverting processes
Papanicolaou, Andrew
ASYMPTOTIC ANALYSIS, 2010, 70 (3-4) : 155 - 176

← 1 2 3 4 5 →