The Simultaneous Hedging of Price Risk, Crop Yield Risk and Currency Risk
โ Scribed by Govindaray N. Nayak; Calum G. Turvey
- Book ID
- 111332141
- Publisher
- John Wiley and Sons
- Year
- 2000
- Tongue
- English
- Weight
- 116 KB
- Volume
- 48
- Category
- Article
- ISSN
- 0008-3976
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
## Abstract We construct models which enable a decision maker to analyse the implications of typical time series patterns of daily exchange rates for currency risk management. Our approach is Bayesian where extensive use is made of Markov chain Monte Carlo methods. The effects of several model char
e use random sampling techniques to form portfolios of common stocks so W that the portfolios differ in systematic risk and dividend yield. Using three hedge strategies (naive, beta and minimum-variance), we add short positions of the S&P 500 Stock Index futures contract to each equity portfolio. Ov