| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1144196 | Systems Engineering - Theory & Practice | 2009 | 6 Pages |
Abstract
In this article, we develop an optimal hedging ratio model with skewness and derive the analytical solution of the optimal hedging ratio which can degenerate to mean-variance hedging ratio when co-skewnesses of spot and futures returns become zero. The empirical results suggest that the hedging model with skewness performs better than the traditional mean-variance hedging model.
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Physical Sciences and Engineering
Engineering
Control and Systems Engineering
