Mean-Gini hedging in futures markets

Article Abstract:

The relationship between the mean-extended Gini (MEG) hedging ratio model and the basic expected utility-maximizing futures hedging model is examined to determine the relevance of MEG hedging in futures markets. The analysis reveals that the MEG hedge ratio should be used, instead of the mean-variance hedge ratio, whenever the D'Agostino procedure shows that contracts are not normally distributed. Practitioners can then determine the relevant risk aversion coefficient by estimating MEG ratios for different values of v, as well as their Hausman m statistic.

Hedging (Finance)

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A multiperiod model for the selection of a futures portfolio

Article Abstract:

A multiperiod model for futures portfolios is presented as an alternative to the traditional portfolio model. The model uses a mean-variance approach allowing for daily portfolio adjustments, leverage, long and short positions and multiperiod trading horizons needed for a futures portfolio. It is a generalization of the traditional portfolio model designed to accommodate portfolio optimization in the context of the futures market. The model, in conjunction with a selction criteria, can also determine optimal portfolio rates.

Investment analysis, Securities analysis

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Revisiting the finite mixture of Gaussian distributions with application to futures markets

Article Abstract:

Research is presented concerning the development of the kurtosis-controlled expectation-maximization algorithm as a technique for Gaussian mixture modeling. The improvements generated by this algorithm are discussed.

Other Financial Vehicles, Financial Services NEC, Usage, Financial services, Algorithms, Gaussian distribution, Normal distribution

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