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Homeen-gbA new approach to evaluating the cost-efficiency of complex hedging strategies: an application to electricity priceâ€“volume quanto contractsIn this paper, the authors propose a new hedging assessment model, the economic value of the incremental expected shortfall (EVIES), from a cost-efficiency perspective.
https://www.risk.net/journal-of-energy-markets/7010701/a-new-approach-to-evaluating-the-cost-efficiency-of-complex-hedging-strategies-an-application-to-electricity-price-volume-quanto-contracts
https://www.risk.net/journal-of-energy-markets/7010701/a-new-approach-to-evaluating-the-cost-efficiency-of-complex-hedging-strategies-an-application-to-electricity-price-volume-quanto-contracts
Fri, 20 Sep 2019 13:40:05 +0100