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.
Hedging Foreign Exchange Exposure: Risk Reduction from Transaction and Translation Hedging
โ Scribed by Niclas Hagelin; Bengt Pramborg
- Book ID
- 110943338
- Publisher
- John Wiley and Sons
- Year
- 2004
- Tongue
- English
- Weight
- 142 KB
- Volume
- 15
- Category
- Article
- ISSN
- 0954-1314
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
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.
T price level regression can reduce hedging risk. When a hedging decision is being made, a hedger derives a target price to indicate the price he expects to achieve from hedging. Usually, the target price is developed from a linear (or price level) regression of local cash price on the nearby future