Leptokurtic Distribution and Optimal Hedge Ratio
碩士 === 國立高雄第一科技大學 === 金融營運所 === 92 === When we use futures to hedge a portfolio of risky assets, the most important objective is to estimate the optimal hedge ratio (OHR). When the futures price follows a martingale and investors have mean-variance utility, the OHR is equal to the minimum variance h...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2004
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/84503226020231308652 |