search query: @author Hodgson, A. / total: 7
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| Author: | Hodgson, A. Okunev, J. |
| Title: | An alternative approach for determining hedge ratios for futures contracts. |
| Journal: | Journal of Business Finance and Accounting
1992 : JAN, VOL. 19:2, p. 211-224 |
| Index terms: | FUTURES MARKETS HEDGING RISK AVERSION AUSTRALIA |
| Language: | eng |
| Abstract: | This paper applies the extended mean Gini coefficient to determine spot-futures hedge ratios between the Australian sharemarket index and futures contracts written on that index, as an alternate to the mean variance model. For low levels of risk aversion, mean Gini investors adopt hedge ratios which are similar to mean variance hedge ratios. For greater levels of risk, mean Gini investors adopt different hedge ratios and those hedge ratios are more volatile, when compared to mean variance hedge ratios. An important implication is that moderate to highly risk averse investors should pay much more attention to monitoring hedging strategies, than predicted by the mean variance model. |
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