Accéder directement au contenu Accéder directement à la navigation
Pré-publication, Document de travail

New models of commodity risk hedging according to the behavior of economic decision-makers or Rollover Strategies

Abstract : In static framework, many hedging strategies can be settled following the various hedge ratios that have been developed in the literature. However, it is difficult to choose among them the best the appropriate strategy according the to preference or economic behavior of the decision-maker such as prudence and temperance. This is so even with the hedging effectiveness measure. After introducing a hedging ratio that take into account the prudence and temperance of the decision maker, we propose a ranking based approach to measure the effectiveness using L-moment to classify hedge portfolios, hence hedge ratios, with regard to their performance. Moreover, we deal with the hedging issue in presence of quantity and rollover risks and derive an optimal strategy that depends upon the basis and insurance contract. Such hedging issue includes the relevant risks encountered in practice and we relate how insurance contract, specially designed for production risk could affect the futures hedge. The application on futures prices data at hands shows that taking into account quantity and rollover risks leads to better hedging strategy based on the L-performance effectiveness measure.
Type de document :
Pré-publication, Document de travail
Liste complète des métadonnées

Littérature citée [46 références]  Voir  Masquer  Télécharger
Contributeur : Anthony Herrada Connectez-vous pour contacter le contributeur
Soumis le : mercredi 18 décembre 2019 - 11:11:52
Dernière modification le : jeudi 19 mai 2022 - 16:04:07
Archivage à long terme le : : jeudi 19 mars 2020 - 16:21:19


Fichiers produits par l'(les) auteur(s)


  • HAL Id : hal-02417459, version 1



Zoulkiflou Moumouni, Jules Sadefo-Kamdem. New models of commodity risk hedging according to the behavior of economic decision-makers or Rollover Strategies. 2019. ⟨hal-02417459⟩



Consultations de la notice


Téléchargements de fichiers