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This master's thesis explores commodity futures contracts and their role in hedging against price risks, particularly in crude oil. It discusses the importance of optimal hedging strategies, focusing on minimum-variance hedging based on Markowitz portfolio theory, and examines various models, including value at risk (VaR) and conditional value at risk (C)VaR.
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Hedging with Commodity Futures, Su Dai
- Language
- Released
- 2013
- product-detail.submit-box.info.binding
- (Paperback)
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