Hedging and value at risk: A semi-parame
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Zhiguang Cao; Richard D.F. Harris; Jian Shen
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Article
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2009
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John Wiley and Sons
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English
⚖ 104 KB
## Abstract The non‐normality of financial asset returns has important implications for hedging. In particular, in contrast with the unambiguous effect that minimum‐variance hedging has on the standard deviation, it can actually increase the negative skewness and kurtosis of hedge portfolio returns