Adjusting stacked-hedge ratios for stochastic convenience yield: a minimum variance approach
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DOI: 10.1080/14697680600989535
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- James DiLellio, 2015. "A Kalman filter control technique in mean-variance portfolio management," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 39(2), pages 235-261, April.
- Luo, Rui & Fortenbery, T. Randall, 2016. "Corporate Hedging In Incomplete Markets: A Solution Under Price Transmission," 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts 235444, Agricultural and Applied Economics Association.
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Keywords
Multi-period hedge; Stacked-hedge convenience yield; Commodities; Kalman filter;All these keywords.
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