Hedging downside risk: futures vs. options
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Bibliographic InfoArticle provided by Elsevier in its journal International Review of Economics & Finance.
Volume (Year): 10 (2001)
Issue (Month): 2 ()
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Web page: http://www.elsevier.com/locate/inca/620165
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Donald Lien & Yiu Kuen Tse, 2000. "Hedging downside risk with futures contracts," Applied Financial Economics, Taylor & Francis Journals, vol. 10(2), pages 163-170.
- Fishburn, Peter C, 1977. "Mean-Risk Analysis with Risk Associated with Below-Target Returns," American Economic Review, American Economic Association, vol. 67(2), pages 116-26, March.
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- Korsvold, P.E., 1994. "Hedging Efficiency of Forward and Option Currency Contracts," Working Papers 195, University of Sydney, School of Economics.
- Price, Kelly & Price, Barbara & Nantell, Timothy J, 1982. " Variance and Lower Partial Moment Measures of Systematic Risk: Some Analytical and Empirical Results," Journal of Finance, American Finance Association, American Finance Association, vol. 37(3), pages 843-55, June.
- Mattos, Fabio & Garcia, Philip & Nelson, Carl H., 2005.
"Relaxing Standard Hedging Assumptions in the Presence of Downside Risk,"
2005 Conference, April 18-19, 2005, St. Louis, Missouri, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management
19040, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
- Mattos, Fabio & Garcia, Philip & Nelson, Carl, 2008. "Relaxing standard hedging assumptions in the presence of downside risk," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 48(1), pages 78-93, February.
- Luca Antonio Ricci & Marcos Chamon & Yuanyan Sophia Zhang, 2011. "Country Insurance Using Financial Instruments," IMF Working Papers 11/169, International Monetary Fund.
- S. M. Sunoj & S. S. Maya, 2008. "The role of lower partial moments in stochastic modeling," Metron - International Journal of Statistics, Dipartimento di Statistica, ProbabilitÃ e Statistiche Applicate - University of Rome, Dipartimento di Statistica, ProbabilitÃ e Statistiche Applicate - University of Rome, vol. 0(2), pages 223-242.
- Liu, Xiaochun & Jacobsen, Brian, 2011. "The Dynamic International Optimal Hedge Ratio," MPRA Paper 35260, University Library of Munich, Germany.
- Demirer, Riza & Lien, Donald, 2003. "Downside risk for short and long hedgers," International Review of Economics & Finance, Elsevier, Elsevier, vol. 12(1), pages 25-44.
- Donald Lien & Michael Metz, 2001. "Corporate income tax and futures hedging," Journal of Economics and Finance, Springer, Springer, vol. 25(3), pages 308-315, September.
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