A Risk-Return Measure of Hedging Effectiveness: A Comment

This paper points out an error and implications of the error in the model of hedging effectiveness proposed by Howard and D'Antonio (1). The error would lead to ambiguous results if the model were used in practical applications to select the best hedging instrument. This paper proposes a new measure of hedging effectiveness that eliminates the error in the original model and resolves the ambiguity.

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Year of publication:	1987
Authors:	Chang, Jack S. K. ; Shanker, Latha
Published in:	Journal of Financial and Quantitative Analysis. - Cambridge University Press. - Vol. 22.1987, 03, p. 373-376
Publisher:	Cambridge University Press
Description of contents:	Abstract [journals.cambridge.org]

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005139026