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  • Search: subject:"optimal hedging ratio"
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Year of publication
Subject
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optimal hedging ratio 2 risk management 2 OLS 1 Research Methods/ Statistical Methods 1 downside risk 1 error-correction model 1 hedging 1 semivariance hedge ratio 1
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Online availability
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Free 2
Type of publication
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Article 2
Language
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Undetermined 2
Author
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Armeanu, Daniel 1 Dinica, Mihai Cristian 1 Nayak, Govindaray 1 Turvey, Calum G. 1
Published in...
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Journal for Economic Forecasting 1 Journal of Agricultural and Resource Economics 1
Source
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RePEc 2
Showing 1 - 2 of 2
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The Optimal Hedging Ratio for Non-Ferrous Metals
Dinica, Mihai Cristian; Armeanu, Daniel - In: Journal for Economic Forecasting (2014) 1, pp. 105-122
leads to the need for the optimal hedge ratio estimation. Our paper estimates the optimal hedging ratio in the case of the …
Persistent link: https://www.econbiz.de/10010765779
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Cover Image
The Semivariance-Minimizing Hedge Ratio
Turvey, Calum G.; Nayak, Govindaray - In: Journal of Agricultural and Resource Economics 28 (2003) 01
This study presents a new approach to the optimal hedging decision. In some empirical studies, the standard hedge using the mean-variance hedge ratio provides results which are inconsistent with downside risk management. The new approach taken here relates the optimal hedge ratio to semivariance...
Persistent link: https://www.econbiz.de/10005484300
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