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
A risk-return measure of hedging effectiveness: A simplification
โ Scribed by Cheng-Kun Kuo; Keng-Wang Chen
- Publisher
- John Wiley and Sons
- Year
- 1995
- Tongue
- English
- Weight
- 198 KB
- Volume
- 15
- Category
- Article
- ISSN
- 0270-7314
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