Mean‐variance hedging with basis risk

• المؤلفون الرئيسيون: Xue, Xiaole, Zhang, Jingong, Weng, Chengguo
• مؤلفون آخرون: Nanyang Business School
• التنسيق: مقال
• اللغة: English
• منشور في: 2021
• الموضوعات: Business::Finance; Optimal Hedging; Basis Risk
• الوصول للمادة أونلاين: https://hdl.handle.net/10356/149141
• المؤسسة: Nanyang Technological University

Basis risk arises in a number of financial and insurance risk management problems when the hedging assets do not perfectly match the underlying asset in a hedging program. Notable examples in insurance include the hedging for longevity risks, weather index–based insurance products, variable annuitie...