Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
9663906 | European Journal of Operational Research | 2005 | 15 Pages |
Abstract
The general conclusions reached were that for the portfolios within the data set (i) that the EWMA method of estimation provided the best estimate of the optimal hedge (ii) the shorter estimation window was no more efficient than the longer window and (ii) the FTESE250 futures index was the best hedging vehicle for these portfolios.
Keywords
Related Topics
Physical Sciences and Engineering
Computer Science
Computer Science (General)
Authors
Jason Laws, John Thompson,