M. van der Nat

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In this paper we investigate hedging a stock portfolio with stock index fùtures. Instead of defining the hedge ratio as the minimum variante hedge ratio, we consider several measures of downside risk: the semivariance according to Markowitz [ 19591 and the various lower partial moments according to Fishbum’s [ 19771 at model (a>O). Analytically we show that(More)
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