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A note on the relationship between the variability of the hedge ratio and hedging performance

✍ Scribed by Donald Lien

Publisher: John Wiley and Sons
Year: 2010
Tongue: English
Weight: 67 KB
Volume: 30
Category: Article
ISSN: 0270-7314
DOI: 10.1002/fut.20455

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✦ Synopsis

Abstract

This note provides an analysis to examine the conjecture about the monotonic relationship between hedge ratio variability and hedging performance. Specific conditions are characterized to sustain the conjecture. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark

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