Hedging Time-Varying Downside Risk

Hedging Time-Varying Downside Risk

One of the major functions of derivative instruments is risk reduction. A long-standing tradition in the finance literature treated the risk with a two-sided notion. Standard deviation or variance are employed to measure risk. A recent survey by Adams and Montesi (1995), however, indicated that corp...

Full description

Saved in:
Bibliographic Details
Main Authors: TSE, Yiu Kuen, Lien, Donald
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 1998
Subjects:
Economics
Online Access:https://ink.library.smu.edu.sg/soe_research/259
Tags: Add Tag
No Tags, Be the first to tag this record!
Institution: Singapore Management University
Language: English
id sg-smu-ink.soe_research-1258
record_format dspace
spelling sg-smu-ink.soe_research-12582010-09-23T05:48:03Z Hedging Time-Varying Downside Risk TSE, Yiu Kuen Lien, Donald One of the major functions of derivative instruments is risk reduction. A long-standing tradition in the finance literature treated the risk with a two-sided notion. Standard deviation or variance are employed to measure risk. A recent survey by Adams and Montesi (1995), however, indicated that corporate managers are more concerned with variability in losses but not so much with variability in gains. This finding is consistent with Mao (1970). One may name the former variability downside risk and the latter upside potential (Lee and Rao, 1988). 1998-01-01T08:00:00Z text https://ink.library.smu.edu.sg/soe_research/259 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 Time-Varying Downside Risk
description One of the major functions of derivative instruments is risk reduction. A long-standing tradition in the finance literature treated the risk with a two-sided notion. Standard deviation or variance are employed to measure risk. A recent survey by Adams and Montesi (1995), however, indicated that corporate managers are more concerned with variability in losses but not so much with variability in gains. This finding is consistent with Mao (1970). One may name the former variability downside risk and the latter upside potential (Lee and Rao, 1988).
format text
author TSE, Yiu Kuen
Lien, Donald
author_facet TSE, Yiu Kuen
Lien, Donald
author_sort TSE, Yiu Kuen
title Hedging Time-Varying Downside Risk
title_short Hedging Time-Varying Downside Risk
title_full Hedging Time-Varying Downside Risk
title_fullStr Hedging Time-Varying Downside Risk
title_full_unstemmed Hedging Time-Varying Downside Risk
title_sort hedging time-varying downside risk
publisher Institutional Knowledge at Singapore Management University
publishDate 1998
url https://ink.library.smu.edu.sg/soe_research/259
_version_ 1770569089268318208

Similar Items