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.
STATE-DEPENDENT PREFERENCES AND FUTURES HEDGING: THE EFFECTS OF BASIS RISK
โ Scribed by Donald Lien
- Book ID
- 111047499
- Publisher
- John Wiley and Sons
- Year
- 2004
- Tongue
- English
- Weight
- 86 KB
- Volume
- 9
- Category
- Article
- ISSN
- 1361-374X
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
ost empirical work and empirically oriented illustrations dealing with M the hedging effectiveness of futures contracts utilize either one of two approaches, namely: Risk minimization or payoff maximization. In the first approach, hedging is perceived as a combination of a futures position with an e
e development of futures markets in financial instruments has provided fi-T. nancial intermediaries, among others, with a vehicle for hedging against unanticipated changes in interest rates.' Protection against these fluctuations can benefit lending institutions which have exposed themselves to inte
e use random sampling techniques to form portfolios of common stocks so W that the portfolios differ in systematic risk and dividend yield. Using three hedge strategies (naive, beta and minimum-variance), we add short positions of the S&P 500 Stock Index futures contract to each equity portfolio. Ov