Chen, Yi-Ting; Ho, Keng-Yu; Tzeng, Larry Y. - In: Journal of Banking & Finance 40 (2014) C, pp. 154-164
riskiness of hedged portfolio returns, where the riskiness is measured by the index of Aumann and Serrano (2008). Unlike the … risk measurements widely used in the literature, the riskiness index employed in our method satisfies monotonicity with …