Minimum-Variance Futures Hedging Under Alternative Return Specifications
碩士 === 淡江大學 === 財務金融學系碩士班 === 94 === It is widely known that the variance-minimizing futures hedge is given by the ratio of the conditional covariance of the futures and spot returns to the conditional variance of the futures return. This standard result can be found in virtually every leading deriv...
| Main Authors: | , |
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2004
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| Online Access: | http://ndltd.ncl.edu.tw/handle/43944350255303298943 |