Mean-variance hedging in the presence of estimation risk-Reference-Cited by-同舟云学术

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Mean-variance hedging in the presence of estimation risk

Published:2021-02-11 Issue:3 Volume:24 Page:221-241
ISSN:1380-6645
Container-title:Review of Derivatives Research
language:en
Short-container-title:Rev Deriv Res

Author:

Chiu Wan-Yi

Publisher

Springer Science and Business Media LLC

Subject

Economics, Econometrics and Finance (miscellaneous),Finance

Link

https://link.springer.com/content/pdf/10.1007/s11147-021-09176-6.pdf

Reference35 articles.

1. Aït-Sahalia, Y., & Lo, A. W. (2000). Nonparametric risk management and implied risk-aversion. Journal of Econometrics, 94, 9–51.

2. 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, 315–342.

3. Bliss, R. R., & Panigirtzoglou, N. (2004). Option-implied risk aversion estimates. Journal of Finance, 68, 407–446.

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, 5440–5448.

5. Bond, G. E., & Thompson, S. R. (1986). Optimal commodity hedging within the capital asset pricing model. Journal of Futures Markets, 6, 421–431.

Cited by 2 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Hedging Salmon Price Risk Based on Fuzzy Copula-GMM Model;International Journal of Information Technology & Decision Making;2023-07-17

2. A value-at-risk approach to futures hedge;Probability in the Engineering and Informational Sciences;2022-06-23

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