2010 December - 5 articles
An argument for adjusting Black Scholes implied call deltas downwards for a gamma exposure in a left skewed market is presented. It is shown that when the objective for the hedge is the conservation of capital ignoring the gamma for the delta positio...
We explore optimal hedge ratios and hedging effectiveness for the German electricity market. Given the increasing attention that wavelets received in the financial market, we concentrate on the investigation of the relationship, covariance/coherence...
This paper revisits the soybean crush spread arbitrage work of Simon (1999) by studying a longer time period, wider variety of entry and exit limits, and the risk-return relationship between entry and exit limits. The lengths of winning and losing tr...
We use mean-variance analysis with short selling constraints to diagnose the effects of the recent global financial crisis by evaluating the potential benefits of international diversification in the search for ‘safe havens’. We use stock index data...
Do U.S. publicly-traded companies led by entrepreneurs perform better than nonentrepreneur-led U.S. public companies? Our data suggests they do. We analyze monthly stock returns of U.S. publicly traded companies over the time period 1998-2010 and fin...
Get Alerted
Add your email address to receive forthcoming issues of this journal.
