## Abstract The optimal hedging portfolio is shown to include both futures and options under a variety of circumstances when the marginal cost of hedging is nonzero. Futures and options are treated as substitute goods, and the properties of the resulting hedging demand system are explained. The ove
Cross-hedging with futures and options: The effects of disappointment aversion
โ Scribed by Donald Lien; Yan Wang
- Book ID
- 113810531
- Publisher
- Elsevier Science
- Year
- 2006
- Tongue
- English
- Weight
- 102 KB
- Volume
- 16
- Category
- Article
- ISSN
- 1042-444X
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
T eration of the types of instruments on various organized exchanges and by the increasing trading volume of each instrument since the first futures contracts on foreign currencies were introduced by the Chicago Mercantile Exchange in 1972 and the establishment of the Chicago Board Options Exchange
Support from the DePaul College of Commerce summer research grants program is gratefully 'Data are obtained from the IMM Yearbook, the CRB Commodity Yearbmk, and The Wall Street 'For a discussion of the various theoretical drawbacks of the mean-variance (risk-minimizing) acknowledged.
he recent volatility of the Italian lira/US dollar exchange rate introduces a sub-T stantial exchange rate risk for traders and investors with a portfolio including the two currencies. As will be explained later, due to foreign exchange controls in Italy, this risk can be managed using a rather limi