Utility maximizing hedge ratios in the extended mean gini framework

Studies of optimal futures hedging have traditionally aimed either at finding the risk minimizing or the utility maximizing hedge ratio. Most articles in the literature seek the risk minimizing hedge ratio, and the preponderance of this literature focuses on mean-variance risk minimization. The popu...

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Bibliographische Detailangaben

Veröffentlicht in:	The journal of futures markets 1993-09, Vol.13 (6), p.597-609
Hauptverfasser:	Kolb, Robert W., Okunev, John
Format:	Artikel
Sprache:	eng
Schlagworte:	Economic models Financial ratios Futures Hedging Risk aversion Utility functions
Online-Zugang:	Volltext
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