𝔖 Bobbio Scriptorium
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Optimal Portfolio Allocation under Higher Moments

✍ Scribed by Eric Jondeau; Michael Rockinger


Book ID
108589645
Publisher
John Wiley and Sons
Year
2006
Tongue
English
Weight
224 KB
Volume
12
Category
Article
ISSN
1354-7798

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Optimal hedging with higher moments
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## Abstract This study proposes a utility‐based framework for the determination of optimal hedge ratios (OHRs) that can allow for the impact of higher moments on hedging decisions. We examine the entire hyperbolic absolute risk aversion family of utilities which include quadratic, logarithmic, powe