Article ID Journal Published Year Pages File Type
9663906 European Journal of Operational Research 2005 15 Pages PDF
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.
Related Topics
Physical Sciences and Engineering Computer Science Computer Science (General)
Authors
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