Adjusting stacked-hedge ratios for stochastic convenience yield: a minimum variance approach (Q5309004)
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scientific article; zbMATH DE number 5198451
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Adjusting stacked-hedge ratios for stochastic convenience yield: a minimum variance approach |
scientific article; zbMATH DE number 5198451 |
Statements
Adjusting stacked-hedge ratios for stochastic convenience yield: a minimum variance approach (English)
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9 October 2007
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Multi-period hedge
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stacked-hedge convenience yield
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commodities
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Kalman filter
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