A simple test of optimal hedging policy-Reference-Cited by-同舟云学术

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A simple test of optimal hedging policy

Published:2013-04 Issue:4 Volume:83 Page:1062-1070
ISSN:0167-7152
Container-title:Statistics & Probability Letters
language:en
Short-container-title:Statistics & Probability Letters

Author:

Chiu Wan-Yi

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Reference21 articles.

1. Global portfolio optimization;Black;Financial Analysts Journal,1992

2. The sampling error in estimating of mean–variance efficient portfolio weights;Britten-Jones;Journal of Finance,1999

3. The effect of asymmetries on optimal hedge ratios;Brooks;Journal of Business,2002

4. Černý, A., 2009. Mathematical Techniques in Finance: Tools for Incomplete Markets. Princeton, New Jersey.

5. A risk-return measure of hedging effectiveness: a comment;Chang;Journal of Financial and Quantitative Analysis,1987

Cited by 1 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. An optimal combination of risk-return and naive hedging;Brazilian Journal of Probability and Statistics;2015-08-01

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