A simple test of optimal hedging policy

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

Authors: 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

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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
• Mathematical techniques in finance. Tools for incomplete markets.

Cited In (4)

• The impact of investor's view on hedging effectiveness
• Analysis of hedging based on co-persistence theory
• Optimal versus no arbitrage hedge ratio: a stochastic control approach
• An optimal combination of risk-return and naive hedging

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