Hedging Demands in Hedging Contingent Claims
نویسندگان
چکیده
منابع مشابه
Hedging Demands in Hedging Contingent Claims
Minimum-variance hedging of a contingent claim in discrete time is suboptimal when the contingent claim is hedged for multiple periods and the objective is to maximize the expected utility of cumulative hedging errors. This is because the hedging errors are not independent. The difference between a minimum-variance hedge and the optimal multiperiod hedge is called the hedging demand and depends...
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ژورنال
عنوان ژورنال: Review of Economics and Statistics
سال: 2003
ISSN: 0034-6535,1530-9142
DOI: 10.1162/003465303762687758