✦ LIBER ✦

Commodity futures cross hedging of foreign exchange exposure

✍ Scribed by Bruce A. Benet

Publisher: John Wiley and Sons
Year: 1990
Tongue: English
Weight: 962 KB
Volume: 10
Category: Article
ISSN: 0270-7314
DOI: 10.1002/fut.3990100307

No coin nor oath required. For personal study only.

✦ Synopsis

Bruce A. Benet 'Although the minimum-variance methodology, as applied to futures hedging, is often attributed to Ederington; earlier work in futures portfolio theory by Johnson (1960) and Stein (1961), as well as the original Markowitz (1952) study, should be credited also.

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