4 papers
A Utility Based Approach to Energy Hedging
John Cotter, Jim Hanly
A key issue in the estimation of energy hedges is the hedgers' attitude towards risk which is encapsulated in the form of the hedgers' utility function. However, the literature typ…
Time Varying Risk Aversion: An Application to Energy Hedging
John Cotter, Jim Hanly
Risk aversion is a key element of utility maximizing hedge strategies; however, it has typically been assigned an arbitrary value in the literature. This paper instead applies a GA…
Hedging: Scaling and the Investor Horizon
John Cotter, Jim Hanly
This paper examines the volatility and covariance dynamics of cash and futures contracts that underlie the Optimal Hedge Ratio (OHR) across different hedging time horizons. We exam…
Hedging Effectiveness under Conditions of Asymmetry
John Cotter, Jim Hanly
We examine whether hedging effectiveness is affected by asymmetry in the return distribution by applying tail specific metrics to compare the hedging effectiveness of short and lon…