A simple test of optimal hedging policy

DOI10.1016/J.SPL.2012.12.014zbMATH Open1264.91123OpenAlexW2085851665MaRDI QIDQ1950751FDOQ1950751

Wan-Yi Chiu

Publication date: 13 May 2013

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2012.12.014

zbMATH Keywords

Sharpe ratiomean-variance analysisoptimal hedge ratiohedging effectivenessrisk-return measure

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Cites Work

• A Test of the Efficiency of a Given Portfolio
• Title not available (Why is that?)

Cited In (1)

• An optimal combination of risk-return and naive hedging

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