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    政大機構典藏 > 商學院 > 財務管理學系 > 期刊論文 >  Item 140.119/117556
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/117556


    Title: Futures Hedge Ratios: A Review
    Authors: 陳聖賢
    Chen, Sheng-Syan
    Lee, Cheng-few
    Shrestha, Keshab
    Contributors: 財管系
    Keywords: Hedge ratio;Semivariance;Cointegration;Minimum variance;Gini coefficient
    Date: 2003
    Issue Date: 2018-06-11 17:33:42 (UTC+8)
    Abstract: This paper presents a review of different theoretical approaches to the optimal futures hedge ratios. These approaches are based on minimum variance, mean-variance, expected utility, mean extended-Gini coefficient, as well as semivariance. Various ways of estimating these hedge ratios are also discussed, ranging from simple ordinary least squares to complicated heteroscedastic cointegration methods. Under martingale and joint-normality conditions, different hedge ratios are the same as the minimum variance hedge ratio. Otherwise, the optimal hedge ratios based on the different approaches are different and there is no single optimal hedge ratio that is distinctly superior to the remaining ones.
    Relation: Quarterly Review of Economics and Finance, Vol.43, No.3, pp.433-465
    Data Type: article
    DOI 連結: http://dx.doi.org/10.1016/S1062-9769(02)00191-6
    DOI: 10.1016/S1062-9769(02)00191-6
    Appears in Collections:[財務管理學系] 期刊論文

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