The use of futures contracts as a hedging instrument has been the focus of much research.
At the theoretical level, an optimal hedge strategy is traditionally based on the expected …

This paper presents two fuzzy portfolio selection models where the objective is to minimize
the downside risk constrained by a given expected return. We assume that the rates of …

Through the exogenous growth model, the inflow of international investments promotes
economic growth by the inclusion of foreign technologies in production functions and capital …

We investigate whether commodity futures or options markets play a more important role in
the price discovery process in the six most actively traded markets: crude oil, natural gas …

An increasing number of investors are interested in sustainable, responsible and impact
investment (SRI). However, there is a concern about the possible financial sacrifice …

This paper assumes that each individual attempts to minimize the downside risk measured
by the lower partial moments (LPMs). Optimal hedge ratios and the resultant hedging …

Until the recent introduction of real estate futures on the Chicago Mercantile Exchange
(CME), there have been few opportunities to manage house price risk. This paper examines …

The emergence of energy commodity exchange-traded fund (ETFs) has provided an
alternative vehicle for both energy commodity users (long hedgers) and producers (short …

US Department of Agriculture's Dairy Options Pilot Program promoted hedging by
producers, and was a test case for similar programs in other agricultural industries. Rapidly …

We analyze how the introduction of a downside risk measure and less restrictive
assumptions in the standard hedging problem changes the optimal hedge and the …