Morgan, George Emir; Shome, Dilip K; Smith, Stephen D - In: Journal of Finance 43 (1988) 1, pp. 175-95
Earlier work on hedging is extended to incorporate uncertainty about deposit supp ly and loan demand as well as random returns on loans and CDs. The op timal forward position is the sum of three ratios which should be est imated simultaneously. The bank-specific data show that studies of ba nks...