HEDGE EFFECTIVENESS - BASIS RISK AND MINIMUM-VARIANCE HEDGING

被引：38

作者：

CASTELINO, MG

机构：

[1] Rutgers University, Newark

来源：

JOURNAL OF FUTURES MARKETS | 1992年 / 12卷 / 02期

关键词：

D O I：

10.1002/fut.3990120207

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

[No abstract available]

引用

收藏

页码：187 / 201

页数：15

相关论文

共 36 条

[1] ON THE OPTIMAL HEDGE OF A NONTRADED CASH POSITION
ADLER, M
DETEMPLE, JB
[J]. JOURNAL OF FINANCE, 1988, 43 (01) : 143 - 153
[2] HEDGING AND JOINT PRODUCTION - THEORY AND ILLUSTRATIONS
ANDERSON, RW
DANTHINE, JP
[J]. JOURNAL OF FINANCE, 1980, 35 (02) : 487 - 498
[3] BECK S, 1987, THESIS U PENNSYLVANI
[4] BENINGA S, 1984, J FUTURES MARKETS, V11, P155
[5] OPTIMAL HEDGING UNDER INTERTEMPORALLY DEPENDENT PREFERENCES
BRIYS, E
CROUHY, M
SCHLESINGER, H
[J]. JOURNAL OF FINANCE, 1990, 45 (04) : 1315 - 1324
[6] A REFORMULATION OF THE PORTFOLIO MODEL OF HEDGING
BROWN, SL
[J]. AMERICAN JOURNAL OF AGRICULTURAL ECONOMICS, 1985, 67 (03) : 508 - 512
[7] EFFICIENT ASSET PORTFOLIOS AND THE THEORY OF NORMAL BACKWARDATION
CARTER, CA
RAUSSER, GC
SCHMITZ, A
[J]. JOURNAL OF POLITICAL ECONOMY, 1983, 91 (02) : 319 - 331
[8] Castelino M.G, 1991, FINANC REV, V26, P179
[9] Castelino M. G., 1990, J QUANTITATIVE EC, V6, P271
[10] MINIMUM-VARIANCE HEDGING WITH FUTURES REVISITED
CASTELINO, MG
[J]. JOURNAL OF PORTFOLIO MANAGEMENT, 1990, 16 (03) : 74 - 80

← 1 2 3 4 →