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A note on the spiral as a measure of judgmental “risk taking”

✍ Scribed by H.C. Holland


Book ID
113112572
Publisher
Elsevier Science
Year
1963
Tongue
English
Weight
310 KB
Volume
21
Category
Article
ISSN
0001-6918

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A note on a risk-return measure of hedgi
✍ Satyanarayan, Sudhakar 📂 Article 📅 1998 🏛 John Wiley and Sons 🌐 English ⚖ 197 KB 👁 2 views

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