✦ LIBER ✦

An empirical evaluation of the extended mean-gini coefficient for futures hedging

✍ Scribed by Robert W. Kolb; John Okunev

Publisher: John Wiley and Sons
Year: 1992
Tongue: English
Weight: 566 KB
Volume: 12
Category: Article
ISSN: 0270-7314
DOI: 10.1002/fut.3990120206

No coin nor oath required. For personal study only.

✦ Synopsis

See Shalit and Yitzhaki (1984), p. 1467. *he return on the futures contract is defined as the percentage change in the futures price. Strictly speaking, however, futures contracts have no return because they require no investment. Identifying the percentage price change on the futures as the futures return is fairly standard. See, for example, CKY (1990).

EXTENDED MEAN GIN1

/ 179 'These percentage differences are computed from the lower of the risk-minimizing M-V hedge ratio or the EMG ratio with V = 100.

📜 SIMILAR VOLUMES

Estimating the extended mean-gini coeffi

Estimating the extended mean-gini coefficient for futures hedging

✍ Donald Lien; Xiangdong Luo 📂 Article 📅 1993 🏛 John Wiley and Sons 🌐 English ⚖ 622 KB

We are thankful to De-Min Wu and two anonymous referees for helpful comments and suggestions. A. G. Malliaris at Loyola University of Chicago kindly provided the data for this research. Of course, we are responsible for any remaining errors.