Hedging Downside Risk: Futures Versus Options
In this paper, we compare the hedging effectiveness of currency futures vs. currency options on the basis of the lower partial moments (LPMs). The LPM measures an individual hedger's downside risk, as opposed to the two-sided risk measure. Two estimation methods are applied to estimate the opti...
Saved in:
| Main Authors: | , |
|---|---|
| 格式: | text |
| 語言: | English |
| 出版: |
Institutional Knowledge at Singapore Management University
2001
|
| 主題: | |
| 在線閱讀: | https://ink.library.smu.edu.sg/soe_research/131 |
| 標簽: |
添加標簽
沒有標簽, 成為第一個標記此記錄!
|
| id |
sg-smu-ink.soe_research-1130 |
|---|---|
| record_format |
dspace |
| spelling |
sg-smu-ink.soe_research-11302010-09-23T05:48:03Z Hedging Downside Risk: Futures Versus Options TSE, Yiu Kuen Lien, Donald In this paper, we compare the hedging effectiveness of currency futures vs. currency options on the basis of the lower partial moments (LPMs). The LPM measures an individual hedger's downside risk, as opposed to the two-sided risk measure. Two estimation methods are applied to estimate the optimal hedge ratio: the empirical distribution function method and the kernel density estimation method. We consider both methods for three currencies: the British pound, the Deutsche mark, and the Japanese yen. Currency futures are found to be a better hedging instrument than currency option. 2001-01-01T08:00:00Z text https://ink.library.smu.edu.sg/soe_research/131 info:doi/10.1016/S1059-0560(00)00074-5 Research Collection School Of Economics eng Institutional Knowledge at Singapore Management University Economics |
| institution |
Singapore Management University |
| building |
SMU Libraries |
| continent |
Asia |
| country |
Singapore Singapore |
| content_provider |
SMU Libraries |
| collection |
InK@SMU |
| language |
English |
| topic |
Economics |
| spellingShingle |
Economics TSE, Yiu Kuen Lien, Donald Hedging Downside Risk: Futures Versus Options |
| description |
In this paper, we compare the hedging effectiveness of currency futures vs. currency options on the basis of the lower partial moments (LPMs). The LPM measures an individual hedger's downside risk, as opposed to the two-sided risk measure. Two estimation methods are applied to estimate the optimal hedge ratio: the empirical distribution function method and the kernel density estimation method. We consider both methods for three currencies: the British pound, the Deutsche mark, and the Japanese yen. Currency futures are found to be a better hedging instrument than currency option. |
| format |
text |
| author |
TSE, Yiu Kuen Lien, Donald |
| author_facet |
TSE, Yiu Kuen Lien, Donald |
| author_sort |
TSE, Yiu Kuen |
| title |
Hedging Downside Risk: Futures Versus Options |
| title_short |
Hedging Downside Risk: Futures Versus Options |
| title_full |
Hedging Downside Risk: Futures Versus Options |
| title_fullStr |
Hedging Downside Risk: Futures Versus Options |
| title_full_unstemmed |
Hedging Downside Risk: Futures Versus Options |
| title_sort |
hedging downside risk: futures versus options |
| publisher |
Institutional Knowledge at Singapore Management University |
| publishDate |
2001 |
| url |
https://ink.library.smu.edu.sg/soe_research/131 |
| _version_ |
1770569028566253568 |