A note on estimating the minimum extended Gini hedge ratio
Article Abstract:
The extended Gini coefficient, Lambda, measures dispersion with strong theoretical basis for application in futures hedging. Conditions under which a two-parameter framework utilizing the mean and Gamma of portfolio returns provides an efficient set consistent with second-order stochastic dominance have been proposed. The mean-Gamma framework needs no specific return distribution or utility function to provide this conclusion. However, Gamma must calculated iteratively which is inconvenient. Shalit had proposed the use of an instrumental variables slope estimator as the basis for the minimum extended Gini hedge ratio. However, this needs the questionable assumption that the rankings of futures prices be the same as those for the profits of the hedged ratio.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 1999
User Contributions:
Comment about this article or add new information about this topic:
A further note on the optimality of the OLS hedge strategy
Article Abstract:
The hedging effectiveness of the dynamic hedge strategy and the conventional OLS strategy are studied. The conventional OLS strategy is shown to be superior to dynamic hedge strategies.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2008
User Contributions:
Comment about this article or add new information about this topic:
Estimating the optimal hedge ratio with focus information criterion
Article Abstract:
A model proposed for the extension of the estimation in error-correction-based minimum-variance ratio by including the lagged spot and future returns is presented.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2005
User Contributions:
Comment about this article or add new information about this topic:
- Abstracts: Stewardship value of earnings components: additional evidence on the determinants of executive compensation. The stock market reaction to performance plan adoptions
- Abstracts: Advanced manufacturing and new directions for competitive strategy. Quality, vendor evaluation and organizational performance: a comparison of U.S. and Japanese firms
- Abstracts: Disentangling the influences of leaders' relational embeddedness on interorganizational exchange. Goal-setting and goal orientation: An integration of two different yet related literatures
- Abstracts: Learning and knowledge acquisition through international strategic alliances. Transferring a lean production concept from Germany to the United States: the impact of labor laws and training systems
- Abstracts: Knowledge management-the next generation of TQM? The information systems content of the Baldrige and EFQM models