A Note on Minimum Riskiness Hedge Ratio

descriptionPublicationkeyboard_double_arrow_right Article , Other literature type 01 Jan 2014 English Publisher:Elsevier BVJournal:SSRN Electronic Journal (eissn: 1556-5068,

Copyright policy )

Authors: Sina Ehsani; Donald Lien;

doi: 10.2139/ssrn.2481745 , 10.1016/j.frl.2015.05.002

A Note on Minimum Riskiness Hedge Ratio

- Summary
- Metrics

Abstract

Regardless of the distributions of spot and futures returns, the hedge ratio determined by minimizing the portfolio’s Aumann and Serrano (2008) index of riskiness is always smaller than the hedge ratio determined by minimizing the portfolio’s variance. It is also demonstrated that the Foster and Hart (2009) riskiness hedge ratio does not exist.

Related Organizations

Northwestern University
United States
Saint Xavier University
United States
The University of Texas at San Antonio
United States
Northern Illinois University
United States

Impact byBIP!

	selected citations These citations are derived from selected sources. This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).	4
	popularity This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.	Average
	influence This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).	Average
	impulse This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.	Average