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Cross hedging do novilho argentino no mercado futuro do boi gordo brasileiro
(Universidade Federal Rural de Pernambuco, 2013)
The present study verifies the effectiveness of cross hedge operations for Argentinians steers by negotiation with futures contracts of the Brazilian live cattle in the Brazilian Securities, Commodities and Futures Exchange ...
Analysis of hedge fund replication products
(2016-09-26)
Hedge fund replication has generated significant academic interest and received increased attention from a broad base of investors. This is mainly driven by its competitive after-fee returns along with its superior liquidity, ...
An SDF Approach to Hedge Funds' Tail Risk:Evidence from Brazilian Funds
(Sociedade Brasileira de Econometria, 2017)
Estratégias de hedge utilizando contratos futuros de boi gordo da BM&FHedging strategies using live cattle futures contracts traded at BM&F
(Universidade Federal de Viçosa, 2016)
Mean-variance hedging strategies in discrete time and continuous state space
(2006)
In this paper we consider the mean-variance hedging problem of a continuous state space financial model with the rebalancing strategies for the hedging portfolio taken at discrete times. An expression is derived for the ...
Sampled Control for Mean-Variance Hedging in a Jump Diffusion Financial Market
(IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC, 2010)
In this technical note we consider the mean-variance hedging problem of a jump diffusion continuous state space financial model with the re-balancing strategies for the hedging portfolio taken at discrete times, a situation ...
Studying the properties of the Bitcoin as a diversifying and hedging asset through a copula analysis: constant and time-varying
In this study, we analyze the properties of Bitcoin as a diversifier asset and hedge asset
against the movement of international market stock indices: S&P500 (US), STOXX50
(EU), NIKKEI (Japan), CSI300 (Shanghai), and HSI ...