Optimal hedge ratio under a subjective re-weighting of the original measure
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DOI: 10.1080/00036846.2015.1096008
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- Barbi, Massimiliano & Romagnoli, Silvia, 2018. "Skewness, basis risk, and optimal futures demand," International Review of Economics & Finance, Elsevier, vol. 58(C), pages 14-29.
- Donald Lien & Ziling Wang & Xiaojian Yu, 2021. "Optimal quantile hedging under Markov regime switching," Empirical Economics, Springer, vol. 60(5), pages 2177-2201, May.
- Shusheng Ding & Zhipan Yuan & Fan Chen & Xihan Xiong & Zheng Lu & Tianxiang Cui, 2021. "Impact persistence of stock market risks in commodity markets: Evidence from China," PLOS ONE, Public Library of Science, vol. 16(11), pages 1-22, November.
- Martiradonna, Monica & Romagnoli, Silvia & Santini, Amia, 2023. "The beneficial role of green bonds as a new strategic asset class: Dynamic dependencies, allocation and diversification before and during the pandemic era," Energy Economics, Elsevier, vol. 120(C).
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