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Performance of utility-based strategies for hedging basis risk

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Author Info
Michael Monoyios ()
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File URL: http://www.brunel.ac.uk/329/efwps/03-13.pdf
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Paper provided by Economics and Finance Section, School of Social Sciences, Brunel University in its series Public Policy Discussion Papers with number 03-13.

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Length: 29 pages
Date of creation: Jul 2003
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Handle: RePEc:bru:bruppp:03-13

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Postal: Brunel University, Uxbridge, Middlesex UB8 3PH, UK

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Henderson, Vicky & Hobson, David G., 2002. "Real options with constant relative risk aversion," Journal of Economic Dynamics and Control, Elsevier, vol. 27(2), pages 329-355, December. [Downloadable!] (restricted)
  2. Thaleia Zariphopoulou, 2001. "A solution approach to valuation with unhedgeable risks," Finance and Stochastics, Springer, vol. 5(1), pages 61-82. [Downloadable!] (restricted)
  3. Merton, Robert C, 1969. "Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case," The Review of Economics and Statistics, MIT Press, vol. 51(3), pages 247-57, August. [Downloadable!] (restricted)
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