We derive an Optimal Hedge Ratio (OHR) under the mean-variance-skewness framework, where investors are allowed to have heterogeneous preference for skewness. Allowing heterogeneous preference for skewness changes the investors optimal hedging decisions. Using spot and futures exchange rate data,...

Recently, independent of each other, there has been interest in (i) time-variation in higher-order moments; (ii) idiosyncratic skewness and predictability of skewness in the asset pricing context; and (iii) robust measures of skewness and kurtosis. The second literature questions the usefulness...