A note on a risk-return measure of hedgi
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Satyanarayan, Sudhakar
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Article
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1998
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John Wiley and Sons
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English
⚖ 197 KB
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In a recent paper, Kuo and Chen (1995) propose a simplification of the Howard and D'Antonio (1984, 1987) model of hedging effectiveness. This note extends Kuo-Chen's suggested simplification to derive the optimal hedge ratio and second order conditions (SOCs) of the Howard-D'Antonio model. These SOC