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...
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| Main Authors: | , |
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| 格式: | text |
| 語言: | English |
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Institutional Knowledge at Singapore Management University
2001
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| 在線閱讀: | https://ink.library.smu.edu.sg/soe_research/131 |
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