2nd International Conference On Systems Engineering and Modeling (ICSEM-13)

One-factor and two-factor dynamic hedging of futures contracts with different maturities for emissions allowances

Authors
Kai Chang, Zhen Yu
Corresponding Author
Kai Chang
Available Online April 2013.
DOI
https://doi.org/10.2991/icsem.2013.43How to use a DOI?
Keywords
emissions allowances, hedge ratios, one-factor, two-factor, hedging effectiveness,
Abstract
Unexpected market information have a different speed change to market price of futures contracts with different maturities, and the paper estimates one-factor and two-factor dynamics hedge ratios and hedging effectiveness evaluation. One-factor and two-factor hedge ratios of futures contracts with different maturities for emissions allowances have time- varying trends. Compared with one-factor hedging, with an increase of span period, market participations can achieve a slight effect on risk reduction of portfolio revenues of futures contracts with different maturities by using two-factor hedge ratios, and especially two-factor hedging policy exhibits better hedging effectiveness for longer-term span period of futures contracts with different maturities for emissions allowances.
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This is an open access article distributed under the CC BY-NC license.

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Proceedings
2nd International Conference On Systems Engineering and Modeling (ICSEM-13)
Part of series
Advances in Intelligent Systems Research
Publication Date
April 2013
ISBN
978-94-91216-42-8
ISSN
1951-6851
DOI
https://doi.org/10.2991/icsem.2013.43How to use a DOI?
Open Access
This is an open access article distributed under the CC BY-NC license.

Cite this article

TY  - CONF
AU  - Kai Chang
AU  - Zhen Yu
PY  - 2013/04
DA  - 2013/04
TI  - One-factor and two-factor dynamic hedging of futures contracts with different maturities for emissions allowances
BT  - 2nd International Conference On Systems Engineering and Modeling (ICSEM-13)
PB  - Atlantis Press
SN  - 1951-6851
UR  - https://doi.org/10.2991/icsem.2013.43
DO  - https://doi.org/10.2991/icsem.2013.43
ID  - Chang2013/04
ER  -