Hedging Salmon Price Risk Based on Fuzzy Copula-GMM Model

Xing Yu, Chenya Liu and Weiguo Zhang
Additional contact information
Xing Yu: School of Economics and Business Administration, Central China Normal University, Wuhan 430079, P. R. China
Chenya Liu: School of Economics and Business Administration, Central China Normal University, Wuhan 430079, P. R. China
Weiguo Zhang: ��School of Management, Shenzhen University, Shenzhen 518060, P. R. China

International Journal of Information Technology & Decision Making (IJITDM), 2025, vol. 24, issue 04, 1221-1246

Abstract: Copula method can explain the dependent function or connection function which connects the joint distribution and the univariate marginal distribution. Therefore, copula has recently become a most significant important tool in the financial field of risk management, portfolio allocation, and derivative asset pricing. However, it leads to a possibilistic uncertainty in estimating the parameters of copulas because of insufficient historical data, imprecise parameter estimation, and uncertain knowledge of future prices. This paper proposes a fuzzy copula model via Kullback–Leibler (KL) divergence to model the fuzzy relations, and further to investigate the hedging issues of salmon futures. We use a new framework of hedging under fuzzy circumstances, consisting of innovative marginal distributions and fuzzy intervals. By synergizing fuzzy copula and simulations, we use the fuzzy copula-GMM to obtain the hedge ratios of salmon futures. The empirical results show that, compared with traditional probabilistic methods, the fuzzy copula-GMM hedges the salmon spot risk measured by variance more successfully.

Keywords: Salmon price risk hedging; fuzzy copula model; Kullback–Leibler divergence; mixture Gaussian model (search for similar items in EconPapers)
Date: 2025
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.worldscientific.com/doi/abs/10.1142/S0219622023500682
Access to full text is restricted to subscribers

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:ijitdm:v:24:y:2025:i:04:n:s0219622023500682

Ordering information: This journal article can be ordered from

DOI: 10.1142/S0219622023500682

Access Statistics for this article

International Journal of Information Technology & Decision Making (IJITDM) is currently edited by Yong Shi

More articles in International Journal of Information Technology & Decision Making (IJITDM) from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().