A note on minimum riskiness hedge ratio

Sina Ehsani and Donald Lien

Finance Research Letters, 2015, vol. 15, issue C, 11-17

Abstract: This note incorporates the riskiness indexes of Aumann and Serrano (2008) and Foster and Hart (2009) into the futures hedging framework. It is shown that the minimum FH riskiness hedge strategy does not exist whereas the minimum AS riskiness hedge ratio tends to be smaller than the conventional minimum variance hedge ratio. Empirical results using daily spot and futures prices of S&P500 and FTSE100 indices over the 2009 to 2013 period support the theoretical prediction.

Keywords: Economic index of riskiness; Operational measure of riskiness; Hedge ratio (search for similar items in EconPapers)
JEL-codes: G10 G11 G13 G32 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S154461231500046X
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:15:y:2015:i:c:p:11-17

DOI: 10.1016/j.frl.2015.05.002

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().