Hedging Risk On The Basis Of The Lower Partial Moments（LPMs）: Index Futures V.S.Index Options
碩士 === 國立高雄第一科技大學 === 財務管理所 === 90 === This study explores the optimal hedging ratio of index futures in weekly return data using the Lower Partial Moments（LPMs）method. Two LPMs estimation methods, the empirical distribution method and the kernel density estimation method, were applied to estimate t...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2002
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| Online Access: | http://ndltd.ncl.edu.tw/handle/52527793470857944704 |