Composite hedge and utility maximization for optimal futures hedging
Yan Cui, Yun Feng
| Year of publication: |
2020
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|---|---|
| Authors: | Cui, Yan ; Feng, Yun |
| Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 68.2020, p. 15-32
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| Subject: | Composite hedge | Expected utility maximization | MCS test | Minimum variance objective | Risk aversion | Hedging | Theorie | Theory | Portfolio-Management | Portfolio selection | Erwartungsnutzen | Expected utility | Derivat | Derivative | Risikoaversion |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.iref.2020.03.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012486283