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Quantitative Finance Volume 7, 2007 - Issue 3
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Original Articles

Adjusting stacked-hedge ratios for stochastic convenience yield: a minimum variance approach

Jonathan M. Godbey James Madison University, Finance and Business Law Program, Zane Showker Hall, Harrisburg, VA 22807, USA
&
Jimmy E. Hilliard Department of Finance, 2156 CEBA, E. J. Ourso College of Business, Louisiana State University, Baton Rouge, LA 70803, USACorrespondence[email protected]
Pages 289-300 | Received 19 Nov 2004, Accepted 01 Sep 2006, Published online: 19 Jun 2007

Citations (6)

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Read on this site (1)

Tom Arnold, MarkJ. Bertus & Jonathan Godbey. (2008) A Simplified Approach to Understanding the Kalman Filter Technique. The Engineering Economist 53:2, pages 140-155.
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Articles from other publishers (5)

James DiLellio. (2012) A Kalman filter control technique in mean-variance portfolio management. Journal of Economics and Finance 39:2, pages 235-261.
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Yufang Liu, Wei-Guo Zhang, Rongda Chen & Junhui Fu. (2014) Hedging Long-Term Exposures of a Well-Diversified Portfolio with Short-Term Stock Index Futures Contracts. Mathematical Problems in Engineering 2014, pages 1-13.
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Constantin Mellios & Pierre Six. (2011) The Traditional Hedging Model Revisited with a Nonobservable Convenience Yield. Financial Review 46:4, pages 569-593.
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Mark Bertus, Jonathan Godbey & Jimmy E. Hilliard. (2009) Minimum variance cross hedging under mean‐reverting spreads, stochastic convenience yields, and jumps: Application to the airline industry. Journal of Futures Markets 29:8, pages 736-756.
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Rui Luo. (2012) Minimum Variance Joint Hedging under Competitive Pressure: Application to the Oil Industry. SSRN Electronic Journal.
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