Concepedia

Minimum-variance Hedging

Minimum-Variance Hedging is a risk management strategy that belongs to the class of hedging methods in commodity price risk, distinguished by its objective of minimizing the variance of the hedged position through optimal hedge ratio estimation based on statistical covariance between spot and futures prices.

127

Publications

5.7K

Citations

212

Authors

172

Institutions

Publications per year

2017–2026

20

Parents

Publications

127

Is gold the best hedge and a safe haven under changing stock market volatility?

Matthew Hood, Farooq Malik · Review of Financial Economics · 2013 · 400 citations

, , +16

Variance-Optimal Hedging in Discrete Time

Martin Schweizer · Mathematics of Operations Research · 1995 · 354 citations

, , +15

Some Recent Developments in Futures Hedging

Donald Lien, Yiu‐Kuen Tse · Journal of Economic Surveys · 2002 · 227 citations · Full text

, , +17

The optimal hedge ratio in unbiased futures markets

Simon Benninga, Rafael Eldor, Itzhak Zilcha · Journal of Futures Markets · 1984 · 149 citations

, , +14

The design of a risk-hedging tool for virtual power plants via robust optimization approach

Morteza Shabanzadeh, Mohammad Kazem Sheikh‐El‐Eslami, Mahmoud‐Reza Haghifam · Applied Energy · 2015 · 133 citations

, , +13

1–5 of 127

Authors

212

  1. SH
    Sergio H. Lence

    Iowa State University, United States

    4 publications · 264 citations

    4

    h-index

  2. RH
    Richard Harris

    University of Exeter, United Kingdom

    4 publications · 160 citations

    4

    h-index

  3. DL
    Donald Lien

    The University of Texas at San Antonio, United States

    4 publications · 281 citations

    4

    h-index

  4. AI
    Alain Ize

    International Monetary Fund, United States

    3 publications · 113 citations

    3

    h-index

  5. CG
    Calum G. Turvey

    Cornell University, United States

    3 publications · 92 citations

    3

    h-index

1–5 of 212

Institutions

172

  1. Rutgers, The State University of New Jersey

    New Brunswick, United States

    5 h-index

    5 publications

    251 citations

  2. City, University of London

    London, United Kingdom

    4 h-index

    6 publications

    408 citations

  3. University of Oslo

    Oslo, Norway

    4 h-index

    6 publications

    146 citations

  4. The University of Texas at San Antonio

    San Antonio, United States

    4 h-index

    4 publications

    281 citations

  5. London Business School

    London, United Kingdom

    3 h-index

    3 publications

    126 citations

  6. National Yang Ming Chiao Tung University

    Hsinchu, Taiwan

    3 h-index

    5 publications

    112 citations

  7. Iowa State University

    Ames, United States

    3 h-index

    3 publications

    185 citations

  8. University of Reading

    Reading, United Kingdom

    3 h-index

    4 publications

    170 citations

1–8 of 172

Venues

  1. Journal of Futures Markets

    25 publications · 1.2K citations

    18

    h-index

  2. SSRN Electronic Journal

    Repository · 10 publications · 237 citations

    10

    h-index

  3. Journal of Banking & Finance

    4 publications · 178 citations

    4

    h-index

  4. The Journal of Finance

    3 publications · 131 citations

    3

    h-index

  5. Applied Economics

    3 publications · 234 citations

    3

    h-index

1–5