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.
Mean-Gini hedging in futures markets
โ Scribed by Haim Shalit
- Publisher
- John Wiley and Sons
- Year
- 1995
- Tongue
- English
- Weight
- 827 KB
- Volume
- 15
- Category
- Article
- ISSN
- 0270-7314
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
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 future
ntil very recently, commodity futures markets were largely ignored by the U vast majority of economists. At the same time, markets for foreign currencies were studied by only a relative handful of specialists in international trade and finance. This article describes an area which overlaps the two v
his article considers the question, can the Australian Wheat Board (AWB) T benefit from hedging using the Chicago Board af Trade's wheat market? The AWB can use the prices generated by futures markets as guides for decision making and as a base for negotiating export contracts. In November 1982, the