Price-risk management with options: Opti
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George W. Ladd; Steven D. Hanson
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Article
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1991
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John Wiley and Sons
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English
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Project No. 2858. 'Brown (1985) modifies the model used by both Johnson (1959-1960) and Stein (1961) by using returns in place of price levels, and his empirical results tend to support the traditional hedge when the objective is risk minimization.