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Optimal Hedging and Carryover Storage Value

✍ Scribed by Draper, Andrew J.; Lund, Jay R.


Book ID
120535270
Publisher
American Society of Civil Engineers
Year
2004
Tongue
English
Weight
86 KB
Volume
130
Category
Article
ISSN
0733-9496

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## Abstract This study proposes a utility‐based framework for the determination of optimal hedge ratios (OHRs) that can allow for the impact of higher moments on hedging decisions. We examine the entire hyperbolic absolute risk aversion family of utilities which include quadratic, logarithmic, powe