An optimal combination of risk-return and naive hedging

DOI10.1214/14-BJPS238zbMath1320.91133MaRDI QIDQ2517099

Wan-Yi Chiu

Publication date: 14 August 2015

Published in: Brazilian Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.bjps/1433983070

zbMATH Keywords

combined forecastsoptimal hedgingnaive hedgingnaive rulerisk-return hedging

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

• Distributional properties of portfolio weights
• An identity for the Wishart distribution with applications
• Multiple objective decision making - methods and applications. A state- of-the-art survey. In collaboration with Sudhakar R. Paidy and Kwangsun Yoon
• A simple test of optimal hedging policy
• A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms
• Estimation for Markowitz Efficient Portfolios
• Computing the Nondominated Surface in Tri-Criterion Portfolio Selection

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