Hedging Downside Risk with Futures Contracts
This paper considers a futures hedge strategy that minimizes the lower partial moments; such a strategy minimizes the downside risk and is consistent with the expected utility hypothesis. Two statistical methods are adopted to estimate the optimal hedge ratios: the empirical distribution function me...
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| Main Authors: | , |
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| 格式: | text |
| 語言: | English |
| 出版: |
Institutional Knowledge at Singapore Management University
2000
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| 主題: | |
| 在線閱讀: | https://ink.library.smu.edu.sg/soe_research/412 |
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