Optimal hedge ratio in a biased forward market under liquidity constraints
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DOI: 10.1016/j.frl.2016.11.009
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Cited by:
- Csóka, Péter & Hevér, Judit, 2018.
"Portfolio valuation under liquidity constraints with permanent price impact,"
Finance Research Letters, Elsevier, vol. 26(C), pages 235-241.
- Peter Csoka & Judit Hever, 2017. "Portfolio valuation under liquidity constraints with permanent price impact," CERS-IE WORKING PAPERS 1736, Institute of Economics, Centre for Economic and Regional Studies.
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More about this item
Keywords
Corporate risk management; Optimal hedge ratio; Funding liquidity; Biased forward markets;All these keywords.
JEL classification:
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
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