This paper investigates whether currencies enhance performance of portfolios diversified over a number of different international markets from the perspective of an American based investor and determines what is the source ...

This paper aims to analyze the results of an operation to hedge a diversified credit portfolio through the use of equity. Initially, a reference to the main theoretical aspects of this dissertation with their definitions ...

This research aims to investigate the Hedge Efficiency and Optimal Hedge Ratio for the future market of cattle, coffee, ethanol, corn and soybean. This paper uses the Optimal Hedge Ratio and Hedge Effectiveness through ...

This dissertation proposes a bivariate markov switching dynamic conditional correlation model for estimating the optimal hedge ratio between spot and futures contracts. It considers the cointegration between series and ...

O agronegócio brasileiro tem se destacado nos últimos anos por sua eficiência e pelo crescimento da produtividade, fundamentados em tecnologia, planejamento, gestão dos resultados e melhoria contínua de desempenho. No ...

This thesis is divided in two chapters. The first chapter entitled 'The Dynamics of the Dynamic Hedging' derives an optimal hedging ratio in a dynamic discrete-time stochastic setting allowing for margin requirements. Then, ...

This dissertation has three objectives. The first is to find out the best method to calculate the optimal hedge ratio of the brazilian market of live cattle. In order to do this, five models were tested: BEKK, DCC of Tse ...

This thesis includes three papers on hedging and optimization of energy asset portfolios. The regulatory scheme for natural gas (NG) prices in Mexico is described and the behavior of international and domestic gas prices ...

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 ...