Performance of utility-based strategies for hedging basis risk
The performance of optimal strategies for hedging a claim on a non-traded asset is analysed. The claim is valued and hedged in a utility maximization framework, using exponential utility. A traded asset, correlated with that underlying the claim, is used for hedging, with the correlation ρ typically...
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| Format: | Journal article |
| Language: | English |
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2004
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