Sheng‐Syan Chen; Cheng‐Few Lee; Shrestha, Keshab - In: Journal of Futures Markets 21 (2001) 6, pp. 581-598
A new mean‐risk hedge ratio based on the concept of generalized semivariance (GSV) is proposed. The proposed mean‐GSV (M‐GSV) hedge ratio is consistent with the GSV‐based risk–return model developed by Fishburn (1977), Bawa (1975, 1978), and Harlow and Rao (1989). The M‐GSV hedge...