Hedging benefits offered by the futures market come at a cost. This article develops a concept of hedging costs, shows how it impacts the hedging decision, and derives an optimal hedge ratio in the context of the cost concept. The hedging cost of using futures is comprised of two components. The fir
Optimal Hedging Ratio Model with Skewness
β Scribed by Long-bin ZHANG; Chun-feng WANG; Zhen-ming FANG
- Publisher
- Elsevier
- Year
- 2009
- Weight
- 114 KB
- Volume
- 29
- Category
- Article
- ISSN
- 1874-8651
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