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Can I read A Note on a Risk-return Measure of Hedging Effectiveness on EtoBox?
A Note on a Risk-return Measure of Hedging Effectiveness by Satyanarayan, Sudhakar is a Economics, Econometrics and Finance article available to read on EtoBox.
What is A Note on a Risk-return Measure of Hedging Effectiveness about?
In a recent paper, Kuo and Chen (1995) propose a simplification of the Howard and D'Antonio (1984, 1987) model of hedging effectiveness. This note extends Kuo-Chen's suggested simplification to derive the optimal hedge ratio and second order conditions (SOCs) of the Howard-D'Antonio model. These SOCs were previously reported incorrectly by both Howard and D'Antonio (1984, 1987) and Chang and Shanker (1987). The corrected SOC is less restrictive than supposed previously and shows that there is no need to make a priori assumptions about risk-return relatives between spot and futures assets to ensure that SOCs conditions are satisfied.
Who reads A Note on a Risk-return Measure of Hedging Effectiveness?
It is typically read by researchers, students, and practitioners in Economics, Econometrics and Finance.
- Author
- Satyanarayan, Sudhakar
- Publisher
- John Wiley and Sons; Wiley (John Wiley & Sons); John Wiley & Sons Inc.; Wiley (ISSN 0270-7314)
- Published
- 1998
- Language
- EN
- Field
- Economics, Econometrics and Finance (Social Sciences)