Performance of utility based strategies for hedging basis risk

The performance of optimal strategies for hedging a claim on a non-traded asset is analyzed. 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 $\rho$ typi...

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Bibliographic Details
Main Author: Monoyios, M
Format: Journal article
Published: 2004