Robiyanto, Robiyanto; Nugroho, Bayu Adi; Handriani, Eka; … - In: Financial innovation : FIN 6 (2020) 53, pp. 1-29
effectiveness of put replication, gold, and oil on hedge equities in the ASEAN-5 (Indonesia, Malaysia, Singapore, Thailand, and the …-adjusted-performance such as Sharpe ratio, drawdown, and Omega ratio. The result reveals that gold is a cheaper hedge than oil and oil …-hedged strategy is more expensive in ASEAN-5 compared to oil exporting nations. Also, investors with big exposure to the oil …