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Optimal hedging in a futures market with background noise and basis risk

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  • Briys, Eric
  • Crouhy, Michel
  • Schlesinger, Harris

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File URL: http://www.sciencedirect.com/science/article/B6V64-45JK4R0-R/2/ab08f49f7dd0a921b6d3ae1805e6e133
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Bibliographic Info

Article provided by Elsevier in its journal European Economic Review.

Volume (Year): 37 (1993)
Issue (Month): 5 (June)
Pages: 949-960

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Handle: RePEc:eee:eecrev:v:37:y:1993:i:5:p:949-960

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Web page: http://www.elsevier.com/locate/eer

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Cited by:
  1. repec:ebl:ecbull:v:6:y:2004:i:5:p:1-7 is not listed on IDEAS
  2. Adam-Müller, Axel F.A. & Nolte, Ingmar, 2011. "Cross hedging under multiplicative basis risk," Journal of Banking & Finance, Elsevier, vol. 35(11), pages 2956-2964, November.
  3. Broll, Udo & Wong, Kit Pong, 2002. "Optimal full-hedging under state-dependent preferences," The Quarterly Review of Economics and Finance, Elsevier, vol. 42(5), pages 937-943.
  4. Frank Lehrbass, 1994. "Optimal hedging with currency forwards, calls, and calls on forwards for the competitive exporting firm facing exchange rate uncertainty," Journal of Economics, Springer, vol. 59(1), pages 51-70, February.
  5. Franke, Gunter & Stapleton, Richard C. & Subrahmanyam, Marti G., 1998. "Who Buys and Who Sells Options: The Role of Options in an Economy with Background Risk," Journal of Economic Theory, Elsevier, vol. 82(1), pages 89-109, September.
  6. Axel F. A. Adam-Müller, 2001. "What to Do if Dollar is Not a Dollar? The Impact of Inflation Risk on Production and Risk Management," CoFE Discussion Paper 01-06, Center of Finance and Econometrics, University of Konstanz.
  7. Adam-Muller, Axel F. A., 2000. "Hedging price risk when real wealth matters," Journal of International Money and Finance, Elsevier, vol. 19(4), pages 549-560, August.
  8. Wong, Kit Pong, 2013. "Fixed versus variable rate loans under state-dependent preferences," Economic Modelling, Elsevier, vol. 31(C), pages 659-663.
  9. Udo Broll & Jack E. Wahl, 2004. "Optimal hedge ratio and elasticity of risk aversion," Economics Bulletin, AccessEcon, vol. 6(5), pages 1-7.
  10. Lien, Donald & Wong, Kit Pong, 2004. "Optimal bidding and hedging in international markets," Journal of International Money and Finance, Elsevier, vol. 23(5), pages 785-798, September.
  11. Korn, Olaf, 2009. "Hedging price risk when payment dates are uncertain," CFR Working Papers 07-14, University of Cologne, Centre for Financial Research (CFR).
  12. Axel F. A. Adam-Müller, 1999. "Hedging Price Risk When Real Wealth Matters," CoFE Discussion Paper 99-12, Center of Finance and Econometrics, University of Konstanz.
  13. Udo Broll & Kit Wong, 2010. "Banking firm and hedging over the business cycle," Portuguese Economic Journal, Springer, vol. 9(1), pages 29-33, April.
  14. Frechette, Darren L., 2000. "Hedging With Futures And Options: A Demand Systems Approach," 2000 Conference, April 17-18 2000, Chicago, Illinois 18941, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.

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