The global minimum variance hedge

DOI10.1007/s11147-019-09159-8zbMath1446.91078OpenAlexW2943538418WikidataQ128021882 ScholiaQ128021882MaRDI QIDQ2211002

Wan-Yi Chiu

Publication date: 10 November 2020

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-019-09159-8

zbMATH Keywords

information ratiominimum variance hedgeglobal minimum variance hedgehedge boundary

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Mean-variance hedging in the presence of estimation risk

Cites Work

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• Hedging effectiveness of stock index futures
• Boundaries of the risk aversion coefficient: should we invest in the global minimum variance portfolio?

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