Hedge Ratios: Theory and Applications

Cheng-Few Lee, John Lee, Jow-Ran Chang and Tzu Tai
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Cheng-Few Lee: Rutgers University, Department of Finance
John Lee: Center for PBBEF Research
Jow-Ran Chang: National Tsing Hua University, Department of Quantitative Finance
Tzu Tai: Mezocliq, LLC

Chapter Chapter 32 in Essentials of Excel, Excel VBA, SAS and Minitab for Statistical and Financial Analyses, 2016, pp 993-1029 from Springer

Abstract: Abstract One of the best uses of derivative securities such as futures contracts is in hedging. In the past, both academicians and practitioners have shown great interest in the issue of hedging with futures. This is quite evident from the large number of articles written in this area.

Keywords: Hedge ratio; Minimum-variance hedge ratio; CARA utility function; Optimum mean-variance hedge ratio; Sharpe hedge ratio; Maximum mean extended-Gini coefficient hedge ratio; Optimum mean-MEG hedge ratio; Minimum generalized semivariance hedge ratio; Minimum value-at-risk hedge ratio; Multivariable skew-normal distribution method; ARCH method; Garch method; Regime-switching Garch method; Random coefficient method; Cointegration and error assertion method effectiveness; ARCH (Autoregressive conditional heteroscedasticity); GARCH (Generalized Autoregressive conditional heteroscedasticity) (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-319-38867-0_32

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DOI: 10.1007/978-3-319-38867-0_32

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