A Note on Minimum Riskiness Hedge Ratio

Regardless of the distributions of spot and futures returns, the hedge ratio determined by minimizing the portfolio's Aumann and Serrano (2008) index of riskiness is always smaller than the hedge ratio determined by minimizing the portfolio's variance. It is also demonstrated that the Foster and Hart (2009) riskiness hedge ratio does not exist

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Year of publication:	2017
Authors:	Ehsani, Sina
Other Persons:	Lien, Donald D. (contributor)
Publisher:	[2017]: [S.l.] : SSRN
Subject:	Theorie \| Theory \| Hedging \| Risiko \| Risk \| Portfolio-Management \| Portfolio selection

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Extent:	1 Online-Ressource (11 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Finance Research Letters, Vol. 15, 2015 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 11, 2014 erstellt
Other identifiers:	10.2139/ssrn.2481745 [DOI]
Classification:	G11 - Portfolio Choice ; G13 - Contingent Pricing; Futures Pricing ; G32 - Financing Policy; Capital and Ownership Structure
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012972878