| dc.contributor | 財管系 | zh_TW |
| dc.creator (作者) | 陳聖賢 | zh_TW |
| dc.creator (作者) | Chen, Sheng-Syan | en_US |
| dc.creator (作者) | Lee, Cheng-few | en_US |
| dc.creator (作者) | Shrestha, Keshab | en_US |
| dc.date (日期) | 2003 | |
| dc.date.accessioned | 11-Jun-2018 17:33:42 (UTC+8) | - |
| dc.date.available | 11-Jun-2018 17:33:42 (UTC+8) | - |
| dc.date.issued (上傳時間) | 11-Jun-2018 17:33:42 (UTC+8) | - |
| dc.identifier.uri (URI) | https://ah.lib.nccu.edu.tw/item?item_id=135271 | - |
| dc.description.abstract (摘要) | This paper presents a review of different theoretical approaches to the optimal futures hedge ratios. These approaches are based on minimum variance, mean-variance, expected utility, mean extended-Gini coefficient, as well as semivariance. Various ways of estimating these hedge ratios are also discussed, ranging from simple ordinary least squares to complicated heteroscedastic cointegration methods. Under martingale and joint-normality conditions, different hedge ratios are the same as the minimum variance hedge ratio. Otherwise, the optimal hedge ratios based on the different approaches are different and there is no single optimal hedge ratio that is distinctly superior to the remaining ones. | en_US |
| dc.format.extent | 209070 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.relation (關聯) | Quarterly Review of Economics and Finance, Vol.43, No.3, pp.433-465 | zh_TW |
| dc.subject (關鍵詞) | Hedge ratio; Semivariance; Cointegration; Minimum variance; Gini coefficient | en_US |
| dc.title (題名) | Futures Hedge Ratios: A Review | en_US |
| dc.type (資料類型) | article | |
| dc.identifier.doi (DOI) | 10.1016/S1062-9769(02)00191-6 | |
| dc.doi.uri (DOI) | http://dx.doi.org/10.1016/S1062-9769(02)00191-6 | |
