Shaffer, David R. - In: Managerial Finance 29 (2003) 1, pp. 73-84
This study compares minimum‐extended Gini hedge ratios estimated by the rank‐based method of Lerman and Yitzhaki and a nonparametric kernel method. The rankbased method is more prevalent in the Gini hedging literature, however, the kernel estimator provides a more powerful approach to...