haku: @author Chang, J. S. K. / yhteensä: 4
viite: 4 / 4
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| Tekijä: | Chang, J. S. K. Shanker, L. |
| Otsikko: | A risk-return measure of hedging effectiveness : a comment. |
| Lehti: | Journal of Financial and Quantitative Analysis
1987 : SEP, VOL. 22:3, p. 373-376 |
| Asiasana: | HEDGING |
| Kieli: | eng |
| Tiivistelmä: | We point out an error and implications of the error in the model of hedging effectiveness due to Howard and D'Antonio. The mistake would lead to ambiguous results if the model were applied to practical selection of the best hedging instrument. The author proposes a new measure of hedging effectiveness that eliminates the mistake in the original model and resolves the ambiguity. |
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