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Comparisons of short and long hedge performance: the case of Taiwan
Demirer, Riza; Lien, Donald; Shaffer, David R. - In: Journal of Multinational Financial Management 15 (2005) 1, pp. 51-66
Persistent link: https://www.econbiz.de/10005300165
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Hedging multiperiod forward commitments : the case of period-by-quantity uncertainty
Lien, Da-hsiang Donald; Shaffer, David R. - In: Review of quantitative finance and accounting 16 (2001) 2, pp. 171-181
Persistent link: https://www.econbiz.de/10001748022
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A note on estimating the minimum extended Gini hedge ratio
Lien, Donald; Shaffer, David R. - In: The journal of futures markets 19 (1999) 1, pp. 101-113
Persistent link: https://www.econbiz.de/10001377604
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Multiperiod strip hedging of forward commitments
Lien, Da-hsiang Donald; Shaffer, David R. - In: Review of quantitative finance and accounting 18 (2002) 4, pp. 345-358
Persistent link: https://www.econbiz.de/10001677064
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A Note on Estimating the Minimum Extended Gini Hedge Ratio
Lien, Donald; Shaffer, David R. - In: The journal of futures markets 19 (1999) 1, pp. 101-114
Persistent link: https://www.econbiz.de/10007344673
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Multiperiod Strip Hedging of Forward Commitments
Lien, Donald; Shaffer, David R. - In: Review of quantitative finance and accounting 18 (2002) 4, pp. 345-358
Persistent link: https://www.econbiz.de/10007167176
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Hedging Multiperiod Forward Commitments: The Case of Period-by-Period Quantity Uncertainty
Lien, Donald; Shaffer, David R. - In: Review of quantitative finance and accounting 16 (2001) 2, pp. 171
Persistent link: https://www.econbiz.de/10007174470
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A note on estimating the minimum extended Gini hedge ratio
Lien, Donald; Shaffer, David R. - In: Journal of Futures Markets 19 (1999) 1, pp. 101-113
The extended Gini coefficient, Γ, is a measure of dispersion with strong theoretical merit for use in futures hedging. Yitzhaki (1982, 1983) provides conditions under which a two‐parameter framework using the mean and Γ of portfolio returns yields an efficient set consistent with...
Persistent link: https://www.econbiz.de/10011197178
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Industry herding and momentum strategies
Demirer, Rıza; Lien, Da-hsiang Donald; Zhang, Huacheng - In: Pacific-Basin finance journal 32 (2015), pp. 95-110
Persistent link: https://www.econbiz.de/10011471555
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Comparisons of short and long hedge performance : the case of Taiwan
Demirer, Rıza; Lien, Da-hsiang Donald; Shaffer, David Reed - In: Journal of multinational financial management 15 (2005) 1, pp. 51-66
Persistent link: https://www.econbiz.de/10002533658