Brouwer, Frank - VU University Amsterdam, Faculty of Economics, Business … - 1995
shortfall probability, and a>=1 ). Therefore, if the latter is used instead of the first (1) downside risk can be reduced less … very attractive one in hedging downside risk. As our empirical results show that minimum variance hedge ratios are less … than 1, a 100% hedge strategy is even less attractive. Another downside risk measure we investigate is the mean …