𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Optimality of the minimum endpoint variance model based on energy consumption

✍ Scribed by Y. Taniai; J. Nishii


Book ID
117982455
Publisher
Elsevier Science
Year
2006
Tongue
English
Weight
142 KB
Volume
1291
Category
Article
ISSN
0531-5131

No coin nor oath required. For personal study only.


πŸ“œ SIMILAR VOLUMES


Optimal Model of Strip-and-Roll Hedge ba
✍ Guo-tai CHI; Zhong-yuan YANG πŸ“‚ Article πŸ“… 2009 πŸ› Elsevier βš– 210 KB

When the longest holding period of futures contracts is shorter than the hedging period, the hedger has to use the overlap of two or more futures contracts to hedge for the spot. In this article, using the shorter futures contract-by-stack to construct the hedging portfolio, which makes the time of