Search Results - subject:"minimum variance hedging"

Do higher order moments of return distribution provide better decisions in minimum-variance hedging? : evidence from US stock index futures

Hou, Yang; Holmes, Mark J. - In: Australian journal of management 45 (2020) 2, pp. 240-265

Persistent link: https://www.econbiz.de/10012216958

Hedging of options in the presence of jump clustering

Hainaut, Donatien; Moraux, Franck - In: The journal of computational finance 22 (2018) 3, pp. 1-35

Persistent link: https://www.econbiz.de/10011988188

Backtesting VaR in consideration of the higher moments of the distribution for minimum-variance hedging portfolios

Chuang, Chung-Chu; Wang, Yi-Hsien; Yeh, Tsai-Jung; … - In: Economic Modelling 42 (2014) C, pp. 15-19

examine the backtesting of VaR models that consider the higher moments of the distribution for minimum-variance hedging …

Persistent link: https://www.econbiz.de/10010931025

Backtesting VaR in consideration of the higher moments of the distribution for minimum-variance hedging portfolios

Chuang, Chung-Chu; Wang, Yi-Hsien; Yeh, Tsai-Jung; … - In: Economic modelling 42 (2014), pp. 15-19

Persistent link: https://www.econbiz.de/10010478302

Properties of Optimal Smooth Functions in Additive Models for Hedging Multivariate Derivatives

Yamada, Yuji - In: Asia-Pacific Financial Markets 19 (2012) 2, pp. 149-179

Persistent link: https://www.econbiz.de/10010866381

Optimal Weak Static Hedging of Equity and Credit Risk Using Derivatives

Becherer, Dirk; Ward, Ian - In: Applied Mathematical Finance 17 (2010) 1, pp. 1-28

We develop a generic method for constructing a weak static minimum variance hedge for a wide range of derivatives that may involve optimal exercise features or contingent cash flow streams to provide a hedge along a sequence of future hedging dates. The optimal hedge is constructed using a...

Persistent link: https://www.econbiz.de/10008609611

A Critique of Minimum Variance Hedging

Dark, Jonathan - In: Accounting Research Journal 18 (2005) 1, pp. 40-49

This paper provides a critique of minimum variance hedging using futures. The paper develops the conventional minimum …

Persistent link: https://www.econbiz.de/10014676532

A Critique of Minimum Variance Hedging

Dark, Jonathan - In: Accounting Research Journal 18 (2005) June, pp. 40-49

This paper provides a critique of minimum variance hedging using futures. The paper develops the conventional minimum …

Persistent link: https://www.econbiz.de/10008671883