Hedging mean-reverting commodities.
Full text is not in this repository.
This item is available in the Library Catalogue
This paper uses the expected utility framework to examine the optimal hedging decision for commodities with mean-reverting price processes. The derived results show that when commodity prices follow a mean-reverting process, the optimal hedge ratio differs significantly from the classical results found under standard geometric Brownian motion. Hence, a failure to accommodate mean reversion when it exists can lead to systematic biases in hedging decisions.
|Research Areas:||A. Middlesex University Schools and Centres > Business School > Accounting and Finance|
|Citations on ISI Web of Science:||0|
|Deposited On:||02 Mar 2010 06:46|
|Last Modified:||10 Dec 2014 20:29|
Repository staff only: item control page
Full text downloads (NB count will be zero if no full text documents are attached to the record)
Downloads per month over the past year