Hedging with futures : does anything beat the naïve hedging strategy?
Yudong Wang, Chongfeng Wu (Antai College of Economics and Management, Shanghai Jiao Tong University, Shanghai, China), Li Yang (School of Banking and Finance, University of New South Wales, Sydney, New South Wales, Australia)
| Year of publication: |
December 2015
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|---|---|
| Authors: | Wang, Yudong ; Wu, Chongfeng ; Li, Yang |
| Published in: |
Management science : journal of the Institute for Operations Research and the Management Sciences. - Catonsville, MD : INFORMS, ISSN 0025-1909, ZDB-ID 206345-1. - Vol. 61.2015, 12, p. 2870-2889
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| Subject: | hedging with futures | naïve strategy | minimum variance hedge ratios | estimation error | model misspecification | Hedging | Theorie | Theory | Derivat | Derivative | Risikomanagement | Risk management | Portfolio-Management | Portfolio selection | Warenbörse | Commodity exchange |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/mnsc.2014.2028 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011413497