haku: @author Spremann, K. / yhteensä: 17
viite: 5 / 17
| Tekijä: | Spremann, K. |
| Otsikko: | Kann man mit Termikontrakten hedgen? = Can you hedge with term contracts? |
| Lehti: | Schmalenbachs Zeitschrift für Betriebswirtschaftliche Forschung
1991 : APR, VOL. 43:4, p. 295-312 |
| Asiasana: | HEDGING CONTRACTS STRATEGY PRICES RISK MANAGEMENT DECISION MAKING |
| Kieli: | ger |
| Tiivistelmä: | Here a model is suggested that includes three points of time. At the first point of time a strategy is chosen, and this strategy will be applied whenever the hedger receives a new open position. Thus the price of forward or future contracts is uncertain when the strategic hedge decision is made. Consequently, the volatility of future prices becomes relevant. It turns out that the risk-minimizing strategy it to keep 50 percent of the open position unhedged and to hedge the other 50 percent. Empirical data are included to illustrate the three-points-of-time model. |
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