Optimal Hedging Strategy Re-visited: Acknowledging the Existence of Non-stationary Economic Time Series

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World Bank Publications, 1994 - Commodity exchanges - 40 pages
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The optimal portfolio model for hedging commodity price and exchange rate risks is extended to nonstationary economic time series data. The new approach corrects the problem of unstable solutions often found with earlier models using economic time series that are nonstationary.
 

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