The global minimum variance hedge
Author:
Funder
National United University
Publisher
Springer Science and Business Media LLC
Subject
Economics, Econometrics and Finance (miscellaneous),Finance
Link
http://link.springer.com/content/pdf/10.1007/s11147-019-09159-8.pdf
Reference24 articles.
1. Anderson, R. W., & Danthine, J.-P. (1981). Cross hedging. Journal of Political Economy, 89(6), 1182–1196.
2. Alexander, C., & Barbosa, A. (2007). Effectiveness of minimum-variance hedging. Journal of Portfolio Management, 33(2), 46–59.
3. Best, M. J., & Grauer, R. R. (1991). On the sensitivity of mean-variance portfolios to change in asset means: Some analytical and computation results, and the structure of asset expected returns. Review of Financial Studies, 4(2), 315–342.
4. Bodnar, T., & Okhrin, Y. (2013). Boundaries of the risk aversion coefficient: Should we invest in the global minimum variance portfolio? Applied Mathematics and Computation, 219(10), 5440–5448.
5. Bond, G. E., & Thompson, S. R. (1986). Optimal commodity hedging within the capital asset pricing model. Journal of Futures Markets, 6(3), 421–431.
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1. Mean-variance hedging in the presence of estimation risk;Review of Derivatives Research;2021-02-11
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