Chen, Yi-Ting; Ho, Keng-Yu; Tzeng, Larry Y. - In: Journal of Banking & Finance 40 (2014) C, pp. 154-164
In this paper, we propose a new spot-futures hedging method that determines the optimal hedge ratio by minimizing the 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...