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Article Dans Une Revue International Journal of Financial Engineering Année : 2024

Dynamic optimal hedging with futures in portfolio context

Résumé

We investigate the optimal hedging strategy in a continuous time framework that is more adequate for commodities. We consider the consumption-investment problem where all asset prices follow mean- reverting jump-diffusion processes. The optimal investment and con- sumption strategies are derived in closed form. The framework is used to address one of the major risk factors faced by commodity produc- ers. We show that a commodity producer will be better off hedging his/her futures contracts by simultaneously investing in foreign ex- change products to minimize the adverse impacts of the jump risk prevalent in commodity prices.
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Dates et versions

hal-04591643 , version 1 (29-05-2024)

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  • HAL Id : hal-04591643 , version 1

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Moustapha Pemy, Jules Sadefo Kamdem. Dynamic optimal hedging with futures in portfolio context. International Journal of Financial Engineering, In press. ⟨hal-04591643⟩
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